Karhunen-Loève expansions of Lévy processes

DOI10.1080/03610926.2017.1400057MaRDI QIDQ5075482zbMATH OpenOpenAlexFDO

Authors Daniel Hackmann

Publication date 16 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1603.00677

zbMATH Keywords

Fourier seriesinfinitely divisibleKarhunen-LoèveLévy processshot-noisesimulation

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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• Karhunen-Loève expansion for a generalization of Wiener bridge
• Lévy matters III. Lévy-type processes: construction, approximation and sample path properties
• On series representations of infinitely divisible random vectors
• Some elements on Lévy processes
• Tempering stable processes

Cited in

(8)

• Numerical aspects of shot noise representation of infinitely divisible laws and related processes
• Linnik Lévy process and some extensions
• Karhunen-Loève expansion for additive Brownian motions
• Karhunen-Loève basis of Kolmogorov phase screens covering a rectangular stripe
• Expansion method of stochastic processes based on normalized orthogonal bases
• Karhunen-Loève expansions of mean-centered Wiener processes
• Computational Science - ICCS 2004
• Karhunen-Loeve expansions of Levy processes

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