Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156617 | Stochastic Processes and their Applications | 2013 | 21 Pages |
Abstract
For Gaussian random fields defined as additive processes based on standard Brownian motions and Brownian bridges, we find their Karhunen–Loève expansions and make connections with related mean centered processes in distribution. Moreover, Pythagorean type distribution identities are established for additive Brownian motions and Brownian bridges. As applications, the corresponding Laplace transform and small deviation estimates are given.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Jin V. Liu,