Robust Extrapolation Problem for Stochastic Sequences with Stationary Increments

Author(s):  
Mikhail Moklyachuk ◽  
Maksym Luz
2020 ◽  
Vol 57 (4) ◽  
pp. 1234-1251
Author(s):  
Shuyang Bai

AbstractHermite processes are a class of self-similar processes with stationary increments. They often arise in limit theorems under long-range dependence. We derive new representations of Hermite processes with multiple Wiener–Itô integrals, whose integrands involve the local time of intersecting stationary stable regenerative sets. The proof relies on an approximation of regenerative sets and local times based on a scheme of random interval covering.


2021 ◽  
pp. 2000554
Author(s):  
Corbinian Wellenhofer ◽  
Daniel R. Phillips ◽  
Achim Schwenk

1974 ◽  
Vol 6 (3) ◽  
pp. 512-523 ◽  
Author(s):  
B. Picinbono

Many physical problems are described by stochastic processes with stationary increments. We present a general description of such processes. In particular we give an expression of a process in terms of its increments and we show that there are two classes of processes: diffusion and asymptotically stationary. Moreover, we show that thenth increments are given by a linear filtering of an arbitrary stationary process.


Geophysics ◽  
2007 ◽  
Vol 72 (5) ◽  
pp. SM77-SM93 ◽  
Author(s):  
Tim T. Lin ◽  
Felix J. Herrmann

An explicit algorithm for the extrapolation of one-way wavefields is proposed that combines recent developments in information theory and theoretical signal processing with the physics of wave propagation. Because of excessive memory requirements, explicit formulations for wave propagation have proven to be a challenge in 3D. By using ideas from compressed sensing, we are able to formulate the (inverse) wavefield extrapolation problem on small subsets of the data volume, thereby reducing the size of the operators. Compressed sensing entails a new paradigm for signal recovery that provides conditions under which signals can be recovered from incomplete samplings by nonlinear recovery methods that promote sparsity of the to-be-recovered signal. According to this theory, signals can be successfully recovered when the measurement basis is incoherent with the representa-tion in which the wavefield is sparse. In this new approach, the eigenfunctions of the Helmholtz operator are recognized as a basis that is incoherent with curvelets that are known to compress seismic wavefields. By casting the wavefield extrapolation problem in this framework, wavefields can be successfully extrapolated in the modal domain, despite evanescent wave modes. The degree to which the wavefield can be recovered depends on the number of missing (evanescent) wavemodes and on the complexity of the wavefield. A proof of principle for the compressed sensing method is given for inverse wavefield extrapolation in 2D, together with a pathway to 3D during which the multiscale and multiangular properties of curvelets, in relation to the Helmholz operator, are exploited. The results show that our method is stable, has reduced dip limitations, and handles evanescent waves in inverse extrapolation.


2020 ◽  
Vol 72 (9) ◽  
pp. 1304-1312
Author(s):  
X. Chen

UDC 519.21 Given the i.i.d. -valued stochastic processes with the stationary increments, a minimal condition is provided for the occupation measure to be absolutely continuous with respect to the Lebesgue measure on An isometry identity related to the resulting density (known as intersection local time) is also established.


Sign in / Sign up

Export Citation Format

Share Document