Karhunen-Loève expansion for additive Brownian motions

DOI10.1016/j.spa.2013.06.001zbMath1322.60067OpenAlexW2044211286MaRDI QIDQ2350351

Jin V. Liu

Publication date: 19 June 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2013.06.001

zbMATH Keywords

Laplace transformBrownian motionBrownian bridgeadditive processesGaussian random fieldssmall deviationsKarhunen-Loève expansion

Mathematics Subject Classification ID

Random fields (60G60) Gaussian processes (60G15) Brownian motion (60J65) Local time and additive functionals (60J55) Limit theorems in probability theory (60F99)

Related Items (6)

A note on Karhunen-Loève expansions for the demeaned stationary Ornstein-Uhlenbeck process ⋮ \( L_2\)-small ball asymptotics for Gaussian random functions: a survey ⋮ Karhunen-Loève expansion for a generalization of Wiener bridge ⋮ Karhunen-Loève expansion for additive Slepian processes ⋮ Karhunen–Loeve expansion for the additive two-sided Brownian motion ⋮ Convergence types and rates in generic Karhunen-Loève expansions with applications to sample path properties

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