Karhunen-Loève expansions for weighted Wiener processes and Brownian bridges via Bessel functions (Q4473003)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 2078174
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Karhunen-Loève expansions for weighted Wiener processes and Brownian bridges via Bessel functions |
scientific article; zbMATH DE number 2078174 |
Statements
7 July 2004
0 references
Karhunen-Loève expansions
0 references
Wiener process
0 references
Brownian bridge
0 references
tests of goodness of fit
0 references
0.8704540729522705
0 references
0.823768138885498
0 references
0.8105916380882263
0 references
Karhunen-Loève expansions for weighted Wiener processes and Brownian bridges via Bessel functions (English)
0 references
The authors provide Karhunen-Loève expansions on \((0,1)\) for weighted Wiener processes and Brownian bridges. The eigenfunctions of these expansions have expressions in terms of Bessel function of the first order. The results are employed, in particular, to obtain exact distributions for the \(L^2(0,1)\) norms of the weighted processes and simple proofs of the Rayleigh extensions of Euler's formula. For the entire collection see [Zbl 1029.00032].
0 references
