Karhunen-Loève expansions of -Wiener bridges

DOI10.2478/S11533-010-0090-8MaRDI QIDQ632290zbMATH OpenOpenAlexFDO

Authors Mátyás Barczy, E. Iglói

Publication date 15 March 2011

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

Copyright license Creative Commons Attribution-NonCommercial-NoDerivs 3.0 Unported

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

zbMATH Keywords

\(\alpha \)-Wiener bridgeKarhunen-Loève expansionLaplace transformlarge deviationscaled Brownian bridgesmall deviation

Mathematics Subject Classification ID

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

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).

Review text

The authors find a Karhunen-Loève expansion as well as a weighted Karhunen-Loève expansion of the process \(X^{(\alpha)}_t= \int^t_0 [(T- t)(T- s)]^\alpha dB_s\), \(t\in [0,T]\), \(\alpha> 0\), called an \(\alpha\)-Wiener bridge (or \(\alpha\)-Brownian bridge), where \(B_t\) is a standard Wiener process. This process, suitable for some econometric models, is a solution of the stochastic differential equation \(dX^{(\alpha)}_t= -{\alpha\over T-t} X^{(\alpha)}_t dt+ dB_t\) and was studied, among others, by \textit{R. Mansuy} [J. Theor. Probab. 17, No. 4, 1021--1029 (2004; Zbl 1063.60049)]. Special cases \(\alpha= 1\) (usual Brownian bridge) and a \(\alpha\downarrow 0\) (standard Wiener process) are derived as corollaries. As applications, Laplace transform, series representation of tail probabilities, large and small deviations theorems for \(\int^t_0 [X^{(\alpha)}_t]^2\,dt\) are obtained.

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Cited in

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• On the large deviation principle for maximum likelihood estimator of -Brownian bridge
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