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Showing 2006 · math.PRShow all
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math.PR2006★ 16 cited
Karhunen-Loève expansions of mean-centered Wiener processes
Paul Deheuvels
For , we provide the Karhunen-Loève expansion of the weighted mean-centered Wiener process, defined by \[W _γ(t)=\frac{1}{\sqrt{1+2γ}}\Big\{W\big(t^{1+2γ}\big)- \int_0^1W…
math.PR2006★ 3 cited
On the excursion theory for linear diffusions
Paavo Salminen, Pierre Vallois, Marc Yor
We present a number of important identities related to the excursion theory of linear diffusions. In particular, excursions straddling an independent exponential time are studied i…