A note on Karhunen-Loève expansions for the demeaned stationary Ornstein-Uhlenbeck process
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Publication:310648
DOI10.1016/j.spl.2016.05.017zbMath1346.60028OpenAlexW2433947229MaRDI QIDQ310648
Publication date: 8 September 2016
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2016.05.017
Laplace transformsmall deviationsdemeaned stationary Ornstein-Uhlenbeck processKarhunen-Loève expansion
Stationary stochastic processes (60G10) Strong limit theorems (60F15) Diffusion processes (60J60) Limit theorems in probability theory (60F99)
Related Items (3)
\(L_2\)-small ball asymptotics for some demeaned Gaussian processes ⋮ \( L_2\)-small ball asymptotics for Gaussian random functions: a survey ⋮ Karhunen-Loève expansion for a generalization of Wiener bridge
Cites Work
- Karhunen-Loève expansions for the detrended Brownian motion
- Karhunen-Loève expansions for the \(m\)-th order detrended Brownian motion
- Karhunen-Loève expansions of \(\alpha\)-Wiener bridges
- A Karhunen-Loève decomposition of a Gaussian process generated by independent pairs of exponential random variables
- Laplace transforms via {H}adamard factorization
- Karhunen-Loève expansion for additive Brownian motions
- Exact small ball constants for some Gaussian processes under the \(L^2\)-norm
- A Karhunen-Loève expansion for a mean-centered Brownian bridge
- Small ball probabilities for Gaussian random fields and tensor products of compact operators
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