On the Besov regularity of periodic Levy noises

In this paper, we study the Besov regularity of Levy white noises on the d-dimensional torus. Due to their rough sample paths, the white noises that we consider are defined as generalized stochastic fields. We, initially, obtain regularity results for general Levy white noises. Then, we focus on two subclasses of noises: compound Poisson and symmetric-a-stable (including Gaussian), for which we make more precise statements. Before measuring regularity, we show that the question is well-posed; we prove that Besov spaces are in the cylindrical sigma-field of the space of generalized functions. These results pave the way to the characterization of the n-term wavelet approximation properties of stochastic processes. (C) 2015 Elsevier Inc. All rights reserved.


Published in:
Applied And Computational Harmonic Analysis, 42, 1, 21-36
Year:
2017
Publisher:
San Diego, Academic Press Inc Elsevier Science
ISSN:
1063-5203
Keywords:
Laboratories:




 Record created 2017-01-24, last modified 2018-03-17


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