Karhunen-Loève expansions of -Wiener bridges

DOI10.2478/S11533-010-0090-8zbMATH Open1228.60047arXiv1007.2904OpenAlexW1991885062MaRDI QIDQ632290FDOQ632290

Authors: Mátyás Barczy, E. Iglói 

Publication date: 15 March 2011

Published in: Central European Journal of Mathematics (Search for Journal in Brave)

Abstract: We study Karhunen-Loeve expansions of the process $(X_t^{(alpha)}{)}_{tin[0,T)}$ given by the stochastic differential equation $d{X}_t^{(alpha)}=-fracalphaT-t{X}_t^{(alpha)}dt+d{B}_t,$ $tin[0,T),$ with an initial condition $X_0^{(alpha)}=0,$ where $alpha>0,$ $Tin(0,infty)$ and $(B_t{)}_{tgeq0}$ is a standard Wiener process. This process is called an $alpha$-Wiener bridge or a scaled Brownian bridge, and in the special case of $alpha=1$ the usual Wiener bridge. We present weighted and unweighted Karhunen-Loeve expansions of $X^{(alpha)}$. As applications, we calculate the Laplace transform and the distribution function of the $L^2[0,T]$-norm square of $X^{(alpha)}$ studying also its asymptotic behavior (large and small deviation).

Full work available at URL: https://arxiv.org/abs/1007.2904

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zbMATH Keywords

Laplace transformlarge deviationsmall deviationscaled Brownian bridge\(\alpha \)-Wiener bridgeKarhunen-Loève expansion

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) Brownian motion (60J65) General second-order stochastic processes (60G12) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited In (18)

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• On the large deviation principle of generalized Brownian bridges
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• Explicit formulas for Laplace transforms of certain functionals of some time inhomogeneous diffusions
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• Convergence types and rates in generic Karhunen-Loève expansions with applications to sample path properties
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• Karhunen-Loève expansions for the \(m\)-th order detrended Brownian motion
• Karhunen-Loève expansions of mean-centered Wiener processes
• A link between Bougerol's identity and a formula due to Donati-Martin, Matsumoto and Yor
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• Karhunen-Loève expansions of \(\alpha\)-Wiener bridges
• \( L_2\)-small ball asymptotics for Gaussian random functions: a survey
• Solving stochastic optimal control problems by a Wiener chaos approach
• General alpha-Wiener bridges
• Karhunen-Loève expansion for the second order detrended Brownian motion
• Karhunen-Loève expansion for a generalization of Wiener bridge

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