A note on Karhunen-Loève expansions for the demeaned stationary Ornstein-Uhlenbeck process

DOI10.1016/J.SPL.2016.05.017MaRDI QIDQ310648zbMATH OpenOpenAlexFDO

Authors Xiaohui Ai

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

zbMATH Keywords

Laplace transformsmall deviationsdemeaned stationary Ornstein-Uhlenbeck processKarhunen-Loève expansion

Mathematics Subject Classification ID

Diffusion processes (60J60) Stationary stochastic processes (60G10) Strong limit theorems (60F15) Limit theorems in probability theory (60F99)

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Cites work

• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 3459622 (Why is no real title available?)
• scientific article; zbMATH DE number 2078174 (Why is no real title available?)
• scientific article; zbMATH DE number 957960 (Why is no real title available?)
• A Karhunen-Loève decomposition of a Gaussian process generated by independent pairs of exponential random variables
• A Karhunen-Loève expansion for a mean-centered Brownian bridge
• Exact small ball constants for some Gaussian processes under the \(L^2\)-norm
• Karhunen-Loève expansion for additive Brownian motions
• Karhunen-Loève expansions for the \(m\)-th order detrended Brownian motion
• Karhunen-Loève expansions for the detrended Brownian motion
• Karhunen-Loève expansions of \(\alpha\)-Wiener bridges
• Laplace transforms via {H}adamard factorization
• Small ball probabilities for Gaussian random fields and tensor products of compact operators

Cited in

(5)

• \(L_2\)-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
• Kac-Ornstein-Uhlenbeck processes: stationary distributions and exponential functionals
• Karhunen-Loève expansions of mean-centered Wiener processes

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