A note on Karhunen-Loève expansions for the demeaned stationary Ornstein-Uhlenbeck process
DOI10.1016/J.SPL.2016.05.017zbMATH Open1346.60028OpenAlexW2433947229MaRDI QIDQ310648FDOQ310648
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
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Diffusion processes (60J60) Stationary stochastic processes (60G10) Strong limit theorems (60F15) Limit theorems in probability theory (60F99)
Cites Work
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- Karhunen-Loève expansions for the \(m\)-th order detrended Brownian motion
- Laplace transforms via {H}adamard factorization
- Karhunen-Loève expansion for additive Brownian motions
- Exact small ball constants for some Gaussian processes under the \(L^2\)-norm
- A Karhunen-Loève expansion for a mean-centered Brownian bridge
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- Karhunen-Loève expansions for the detrended Brownian motion
- Karhunen-Loève expansions of \(\alpha\)-Wiener bridges
- A Karhunen-Loève decomposition of a Gaussian process generated by independent pairs of exponential random variables
Cited In (5)
- \(L_2\)-small ball asymptotics for some demeaned Gaussian processes
- Kac-Ornstein-Uhlenbeck processes: stationary distributions and exponential functionals
- Karhunen-Loève expansions of mean-centered Wiener processes
- \( L_2\)-small ball asymptotics for Gaussian random functions: a survey
- Karhunen-Loève expansion for a generalization of Wiener bridge
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