Karhunen-Loève expansions of \(\alpha\)-Wiener bridges (Q632290): Difference between revisions

The authors find a Karhunen-Loève expansion as well as a weighted Karhunen-Loève expansion of the process \(X^{(\alpha)}_t= \int^t_0 [(T- t)(T- s)]^\alpha dB_s\), \(t\in [0,T]\), \(\alpha> 0\), called an \(\alpha\)-Wiener bridge (or \(\alpha\)-Brownian bridge), where \(B_t\) is a standard Wiener process. This process, suitable for some econometric models, is a solution of the stochastic differential equation \(dX^{(\alpha)}_t= -{\alpha\over T-t} X^{(\alpha)}_t dt+ dB_t\) and was studied, among others, by \textit{R. Mansuy} [J. Theor. Probab. 17, No. 4, 1021--1029 (2004; Zbl 1063.60049)]. Special cases \(\alpha= 1\) (usual Brownian bridge) and a \(\alpha\downarrow 0\) (standard Wiener process) are derived as corollaries. As applications, Laplace transform, series representation of tail probabilities, large and small deviations theorems for \(\int^t_0 [X^{(\alpha)}_t]^2\,dt\) are obtained.