Maccone first KLT theorem: KLT of all timerescaled Brownian motions
In Section 21.4 the problem of finding the KL expansion of standard Brownian motion was solved completely. That was possible because the differential equation for the eigenfunctions was just a simple harmonic oscillator equation, whose solution is trivial.
KeywordsIntegral Equation Brownian Motion Bessel Function Gaussian Process Stability Criterion
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