On sampling of stationary increment processes

• 成果类型: Article
• 署名作者: Albin, JMP
• 署名单位: Chalmers University of Technology
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051604000000468
• 发表日期: 2004
• 页码: 2016-2037
• 关键词: self-similar processes; gaussian-processes; extremal theory; supremum

摘要

Under a complex technical condition, similar to such used in extreme value theory, we find the rate q(epsilon)(-1) at which a stochastic process with stationary increments should be sampled, for the sampled process xi([(.)/q(epsilon)]q(epsilon)) to deviate from xi by at most epsilon, with a given probability, asymptotically as epsilon down arrow 0. The canonical application is to discretization errors in computer simulation of stochastic processes.