Ir al contenido

Documat

Resumen de On the Karhunen-Loeve expansion for transformed processes

Ramón Gutiérrez Jáimez Árbol académico, Mariano José Valderrama Bonnet Árbol académico

  • We discuss the influence of the transformation {X(t)} ? {f(t) X(t(t))} on the Karhunen-Loève expansion of {X(t)}. Our main result is that, in general, the Karhunen-Loève expansion of {X(t)} with respect to Lebesgue's measure is transformed in the Karhunen-Loève expansion of {f(t) X(t(t))} with respect to the measure f-2(t)dt(t). Applications of this result are given in the case of Wiener process, Brownian bridge, and Ornstein-Uhlenbeck process

Fundación Dialnet

Mi Documat