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Results tagged with pr.probability
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user 542746
Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.
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Absolute Continuity of the Karhunen-Loeve expansion coefficients
The Karhunen-Loeve theorem (see these notes or the wikipedia page, for example) states the following:
Theorem: For a continuous, square-integrable, centered stochastic process $(X_t)_{t \in T}$ (with …
- 73
3
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What (continuous) stochastic processes have path measures that are absolutely continuous w.r...
Suppose I have a stochastic process $\{Z_t\}_{t \in T}$ for which I know the sample paths to be a.s. continuous (we can also assume some usual stuff, such as $T$ a compact metric space, $Z$ having con …
- 73