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Karhunen-Loeve expansion for the additive two-sided Brownian motion.

Authors :
Ai, Xiaohui
Sun, Yang
Source :
Communications in Statistics: Theory & Methods. 2018, Vol. 47 Issue 13, p3085-3091. 7p.
Publication Year :
2018

Abstract

In the paper, Karhunen-Loeve expansion and Pythagorean-type distribution identities for the additive two-sided Brownian motion are derived. As the applications of Karhunen-Loeve expansion, the corresponding Laplace transform and small ball probability for the L2 norm are presented. [ABSTRACT FROM AUTHOR]

Subjects

Subjects :
*BROWNIAN motion
*MATHEMATICAL expansion
*LAPLACE transformation
*PROBABILITY theory
*DISTRIBUTION (Probability theory)

Details

Language :
English
ISSN :
03610926
Volume :
47
Issue :
13
Database :
Academic Search Index
Journal :
Communications in Statistics: Theory & Methods
Publication Type :
Academic Journal
Accession number :
129702840
Full Text :
https://doi.org/10.1080/03610926.2017.1346809
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