Dudley's theorem
In probability theory, Dudley’s theorem is a result relating the expected upper bound and regularity properties of a Gaussian process to its entropy and covariance structure.
History
The result was proved in a landmark 1967 paper of Richard M. Dudley; Dudley himself credited Volker Strassen with making the connection between entropy and regularity.
Statement of the theorem
Let (Xt)t∈T be a Gaussian process and let dX be the pseudometric on T defined by
For ε > 0, denote by N(T, dX; ε) the entropy number, i.e. the minimal number of (open) dX-balls of radius ε required to cover T. Then
Furthermore, if the entropy integral on the right-hand side converges, then X has a version with almost all sample path bounded and (uniformly) continuous on (T, dX).
Non-uniqueness
The solution is highly non-unique. There are infinitely many representation of the 0 function, and any of these can be added to a representation to obtain another representation.[1]
References
- ↑ Steele, J. Michael. Stochastic calculus and financial applications. Vol. 45. Springer, 2001.
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