Karhunen-Loève expansions for the detrended Brownian motion (Q449375)

The authors consider the Karhunen-Loeve expansions of the detrended Brownian motion \(\widehat W (t)\), \(t \in [0, 1]\), and of the detrended Brownian bridge \(\widehat B(t)\), \(t \in [0, 1]\). They evaluate explicitly the covariance function and the eigenvalues and related eigenfunctions of \(\widehat W\). By means of the Karhunen-Loeve expansion, they give the Laplace transform of \(\int^1_0 \widehat W^2 (t)dt\) and the tail probabilities. Applications for large and small deviations of the \(L_2\)-norm are provided. The paper presents explicit and fine results.