Karhunen-Loève expansions of \(\alpha\)-Wiener bridges
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Publication:632290
DOI10.2478/s11533-010-0090-8zbMath1228.60047arXiv1007.2904MaRDI QIDQ632290
Publication date: 15 March 2011
Published in: Central European Journal of Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1007.2904
Laplace transform; large deviation; Karhunen-Loève expansion; small deviation; scaled Brownian bridge; \(\alpha \)-Wiener bridge
60G15: Gaussian processes
60G12: General second-order stochastic processes
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J65: Brownian motion
60F10: Large deviations
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