Karhunen–Loève expansions of Lévy processes

DOI10.1080/03610926.2017.1400057OpenAlexW2963238611MaRDI QIDQ5075482

Daniel Hackmann

Publication date: 16 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.00677

zbMATH Keywords

simulationinfinitely divisibleFourier seriesLévy processKarhunen-Loèveshot-noise

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (1)

Numerical aspects of shot noise representation of infinitely divisible laws and related processes

Cites Work

• Tempering stable processes
• On series representations of infinitely divisible random vectors
• Karhunen-Loève expansion for a generalization of Wiener bridge
• Lévy matters III. Lévy-type processes: construction, approximation and sample path properties
• An Automatic Method for Generating Random Variates with a Given Characteristic Function
• An Explicit Representation of a Stationary Gaussian Process
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Karhunen–Loève expansions of Lévy processes