3
votes
1answer
592 views

karhunen-Loeve expansion of Poisson process

Let $X_t, t\geq 0$ be a Poisson process with rate parameter $\lambda$. Compute the karhunen-loeve expansion of $X$ in interval [0, T]. How about the KL expansion of the centered process $X_t-\lambda ...
3
votes
3answers
266 views

Asking for a Fourier inverse transform, which is related to stable laws

Dear friends, Denote the function $$ G_a(x)=\mathcal{F}^{-1}\left(e^{-|\xi|^a}\right)(x)= \frac{1}{2\pi}\int_R \exp\left(-i x \xi - |\xi|^a\right)d\xi\;. $$ It is well known that if $a\in ]0,2]$, ...