On Convergence of the Uniform Norm and Approximation for Stochastic Processes from the Space Fψ(Ω)

Abstract

In the paper, we consider random variables and stochastic processes from the space Fψ(Ω) and study approximation problems for such processes. The method of series decomposition of stochastic processes from Fψ(Ω) is used to find an approximating process called a model. The rate ofconvergence of the model to the process in the uniform norm is investigated. We develop an approach for estimating the cutting-offlevel of the model under the given accuracy and reliability of the simulation. MSC Classification: 60G07, 60G15, 65C20, 68U20