Electronic Journal of Probability
- Electron. J. Probab.
- Volume 8 (2003), paper no. 13, 20 p.
Laplace Transforms via Hadamard Factorization
In this paper we consider the Laplace transforms of some random series, in particular, the random series derived as the squared $L_2$ norm of a Gaussian stochastic process. Except for some special cases, closed form expressions for Laplace transforms are, in general, rarely obtained. It is the purpose of this paper to show that for many Gaussian random processes the Laplace transform can be expressed in terms of well understood functions using complex-analytic theorems on infinite products, in particular, the Hadamard Factorization Theorem. Together with some tools from linear differential operators, we show that in many cases the Laplace transforms can be obtained with little work. We demonstrate this on several examples. Of course, once the Laplace transform is known explicitly one can easily calculate the corresponding exact $L_2$ small ball probabilities using Sytaja Tauberian theorem. Some generalizations are mentioned.
Electron. J. Probab., Volume 8 (2003), paper no. 13, 20 p.
First available in Project Euclid: 23 May 2016
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Mathematical Reviews number (MathSciNet)
Zentralblatt MATH identifier
Primary: 60G15: Gaussian processes
Gao, Fuchang; Hannig, Jan; Lee, Tzong-Yow; Torcaso, Fred. Laplace Transforms via Hadamard Factorization. Electron. J. Probab. 8 (2003), paper no. 13, 20 p. doi:10.1214/EJP.v8-151. https://projecteuclid.org/euclid.ejp/1464037586