A note on Karhunen–Loève expansions for the demeaned stationary Ornstein–Uhlenbeck process

Xiaohui Ai

Statistics & Probability Letters, 2016, vol. 117, issue C, 113-117

Abstract: In this paper we obtain the Karhunen–Loève expansion and distribution identity for the demeaned stationary Ornstein–Uhlenbeck process. Some applications are given to small deviation asymptotic behavior for the L2 norm and Laplace transform for the process.

Keywords: Demeaned stationary Ornstein–Uhlenbeck process; Karhunen–Loève expansion; Laplace transform; Small deviation (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2016.05.017

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