Karhunen–Loeve expansion for the additive detrended Brownian motion

DOI10.1080/03610926.2016.1177079zbMATH Open1372.60048OpenAlexW2504225699MaRDI QIDQ5367299FDOQ5367299

Xiaohui Ai

Publication date: 12 October 2017

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

Full work available at URL: https://doi.org/10.1080/03610926.2016.1177079

zbMATH Keywords

Laplace transformFredholm integral equationsKarhunen-Loeve expansionsmall deviationadditive detrended Brownian motion

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) General second-order stochastic processes (60G12)

Cited In (3)

• Karhunen-Loève expansion for additive Brownian motions
• Differentiation of the modified approximative Karhunen-Loève expansion of a stochastic process
• Karhunen–Loeve expansion for the additive two-sided Brownian motion

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