Integrated Brownian motions and exact L2-small balls
By Fuchang Gao, Jan Hannig, F. Torcaso. 2003
55 citations recorded by the source corpus.
Subfields: Finance, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/284ce3b54246d9b5db6ae876255a8cd8b94f1f1c
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In Finance
In Management Science and Operations Research
Citations in the corpus
- Exact L2-small ball behavior of integrated Gaussian processes and spectral asymptotics of boundary value problems (2004, methodology): “. (1.3) Next contribution was made in [ 15 ].”
- Convergence Types and Rates in Generic Karhunen-Loève Expansions with Applications to Sample Path Properties (2014, background): “nvalues and eigenfunctions are unknown. For example, for the fractional Brownian motion asymptotics are determined in [11], while eigenvalue estimates for certain integrated processes can be found in [23, 48]. Moreover, eigenvalue estimates for covariance functions of tensor type are derived in [30,”