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

被引：1
作者：
Ai, Xiaohui [1 ]
Sun, Yang [2 ]
机构：
[1] Northeast Forestry Univ, Dept Math, Harbin 150040, Heilongjiang, Peoples R China
[2] Harbin Univ Sci & Technol, Sch Appl Sci, Harbin, Heilongjiang, Peoples R China
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2018年 / 47卷 / 13期
基金：
中国国家自然科学基金;
关键词：
Additive two-sided Brownian Motion; Karhunen-Loeve expansion; laplace transform; small deviation;
D O I：
10.1080/03610926.2017.1346809
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
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 L-2 norm are presented.
引用
收藏
页码：3085 / 3091
页数：7
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