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

Xiaohui Ai and Yang Sun

Communications in Statistics - Theory and Methods, 2018, vol. 47, issue 13, 3085-3091

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.

Date: 2018
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DOI: 10.1080/03610926.2017.1346809

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