In this study, we construct surrogate stochastic processes that are challenging to distinguish from ordinary Brownian motion using a method based on the Schauder representation. Specifically, by assuming non-Gaussian (beta and uniform) distributions for the Schauder coefficients, we generate sample paths that preserve key properties of Brownian motion-such as quadratic variation, covariance structure, pointwise Hölder regularity, uncorrelated increments, as well as Gaussian marginal distributions. However, a deeper analysis relying on entropy-based measures and sliding-window spectral variance reveals that only the Gaussian-based construction preserves the expected randomness and the consistent spectral behavior of Brownian motion over time. In contrast, non-Gaussian variants exhibit subtle deviations from true Brownian motion.

Detecting subtle deviations in Brownian motion representations driven by a Schauder basis / Frezza, Massimiliano. - In: CHAOS. - ISSN 1054-1500. - 35:9(2025). [10.1063/5.0287678]

Detecting subtle deviations in Brownian motion representations driven by a Schauder basis

Frezza, Massimiliano
Primo
2025

Abstract

In this study, we construct surrogate stochastic processes that are challenging to distinguish from ordinary Brownian motion using a method based on the Schauder representation. Specifically, by assuming non-Gaussian (beta and uniform) distributions for the Schauder coefficients, we generate sample paths that preserve key properties of Brownian motion-such as quadratic variation, covariance structure, pointwise Hölder regularity, uncorrelated increments, as well as Gaussian marginal distributions. However, a deeper analysis relying on entropy-based measures and sliding-window spectral variance reveals that only the Gaussian-based construction preserves the expected randomness and the consistent spectral behavior of Brownian motion over time. In contrast, non-Gaussian variants exhibit subtle deviations from true Brownian motion.
2025
rough volatility; Brownian motion; Schauder basis
01 Pubblicazione su rivista::01a Articolo in rivista
Detecting subtle deviations in Brownian motion representations driven by a Schauder basis / Frezza, Massimiliano. - In: CHAOS. - ISSN 1054-1500. - 35:9(2025). [10.1063/5.0287678]
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1747437
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