Karhunen-Loève expansions of mean-centered Wiener processes

Abstract

For $γ>-{1/2}$, we provide the Karhunen-Loève expansion of the weighted mean-centered Wiener process, defined by \[W _γ(t)=\frac{1}{\sqrt{1+2γ}}\Big\{W\big(t^{1+2γ}\big)- \int_0^1W\big(u^{1+2γ}\big)du\Big\},\] for $t\in(0,1]$. We show that the orthogonal functions in these expansions have simple expressions in term of Bessel functions. Moreover, we obtain that the $L^2[0,1]$ norm of $W_γ$ is identical in distribution with the $L^2[0,1]$ norm of the weighted Brownian bridge $t^γB(t)$.