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

simulationinfinitely divisibleFourier seriesshot-noiseLévy processKarhunen-Loève

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Recommendations

• On the Karhunen-Loeve expansion for transformed processes
• Explicit Karhunen-Loève expansions related to the Green function of the Laplacian
• Differentiation of the modified approximative Karhunen-Loève expansion of a stochastic process
• Karhunen-Loève expansion for additive Slepian processes
• On three families of Karhunen-Loève expansions associated with classical orthogonal polynomials

Cites work

• scientific article; zbMATH DE number 1639863 (Why is no real title available?)
• scientific article; zbMATH DE number 49187 (Why is no real title available?)
• scientific article; zbMATH DE number 3497161 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 3046994 (Why is no real title available?)
• scientific article; zbMATH DE number 3052578 (Why is no real title available?)
• An Automatic Method for Generating Random Variates with a Given Characteristic Function
• An Explicit Representation of a Stationary Gaussian Process
• 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)

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

This page was built for publication: Karhunen-Loève expansions of Lévy processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5075482)