The n-term Approximation of Periodic Generalized L\'evy Processes

Abstract

In this paper, we study the compressibility of random processes and fields, called generalized L\'evy processes, that are solutions of stochastic differential equations driven by $d$-dimensional periodic L\'evy white noises. Our results are based on the estimation of the Besov regularity of L\'evy white noises and generalized L\'evy processes. We show in particular that non-Gaussian generalized L\'evy processes are more compressible in a wavelet basis than the corresponding Gaussian processes, in the sense that their $n$-term approximation error decays faster. We quantify this compressibility in terms of the Blumenthal-Getoor index of the underlying L\'evy white noise.