Historically, the Karhunen-Loève KL decomposition arose as a tool from the interface of probability theory and information theory see details with references inside the paper . It has served as a powerful tool in a variety of applications, starting with the problem of separating variables in stochastic processes, say, Xt, and processes that arise from statistical noise, for example, from fracti...

The ability of the Rigged Hilbert Space formalism to deal with continuous spectrum is demonstrated within the example of the square barrier potential. The non-square integrable solutions of the time-independent Schrödinger equation are used to define Dirac kets, which are (generalized) eigenvectors of the Hamiltonian. These Dirac kets are antilinear functionals over the space of physical wave f...

Discrete barrier and lookback options are among the most popular path-dependent options in markets. However, due to the discrete monitoring policy almost no analytical solutions are available for them. We shall focus on the following methods for discrete barrier and lookback option prices: (1) Broadie–Yamamoto method based on fast Gaussian transforms. (2) Feng–Linetsky method based on Hilbert t...

In this paper we find the waiting time distribution in the transient domain and the busy period distribution of the GI/G/I queue. We formulate the problem as a two-dimensional Lindley process and then transform it to a Hilbert factorization problem. We achieve the solution of the factorization problem for the GI/R/I, R/G/I queues, where R is the class of distributions with rational Laplace tran...

We study a class of algebras with non-Lie commutation relations whose symplectic leaves are surfaces of revolution: a cylinder or a torus. Over each of such surfaces we introduce a family of complex structures and Hilbert spaces of antiholomorphic sections in which the irreducible Hermitian representations of the original algebra are realized. The reproducing kernels of these spaces are express...

We study pointwise bounds of orthogonal expansions on the real line for a class of exponential weights of smooth polynomial decay at infinity. As a consequence of our main results, we establish pointwise bounds for weighted Hilbert transforms which are of independent interest.

We present a new way of computing equilibrium measures, based on the Riemann–Hilbert formulation. For equilibrium measures whose support is a single interval, the simple algorithm consists of a Newton–Raphson iteration where each step only involves fast cosine transforms. The approach is then generalized for multiple intervals.