Karhunen-Loève expansions of -Wiener bridges

Abstract: We study Karhunen-Loeve expansions of the process

(X_{t}^{(a l p h a)})_{t i n [0, T)}

given by the stochastic differential equation

d X_{t}^{(a l p h a)} = - f r a c a l p h a T - t X_{t}^{(a l p h a)} d t + d B_{t},

t i n [0, T),

with an initial condition

X_{0}^{(a l p h a)} = 0,

where

a l p h a > 0,

T i n (0, i n f t y)

and

(B_{t})_{t g e q 0}

is a standard Wiener process. This process is called an

a l p h a

-Wiener bridge or a scaled Brownian bridge, and in the special case of

a l p h a = 1

the usual Wiener bridge. We present weighted and unweighted Karhunen-Loeve expansions of

X^{(a l p h a)}

. As applications, we calculate the Laplace transform and the distribution function of the

L^{2} [0, T]

-norm square of

X^{(a l p h a)}

studying also its asymptotic behavior (large and small deviation).

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