Localized bases in L2(0,1) and their use in the analysis of Brownian motion

  • Authors:
  • Palle E. T. Jorgensen;Anilesh Mohari

  • Affiliations:
  • Department of Mathematics, The University of Iowa, 14 MacLean Hall, Iowa City, IA 52242-1419, USA;S.N. Bose Centre for Basic Sciences, JD Block, Sector-3, Calcutta-98, India

  • Venue:
  • Journal of Approximation Theory
  • Year:
  • 2008

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Abstract

Motivated by problems on Brownian motion, we introduce a recursive scheme for a basis construction in the Hilbert space L^2(0,1) which is analogous to that of Haar and Walsh. More generally, we find a new decomposition theory for the Hilbert space of square-integrable functions on the unit-interval, both with respect to Lebesgue measure, and also with respect to a wider class of self-similar measures @m. That is, we consider recursive and orthogonal decompositions for the Hilbert space L^2(@m) where @m is some self-similar measure on [0,1]. Up to two specific reflection symmetries, our scheme produces infinite families of orthonormal bases in L^2(0,1). Our approach is as versatile as the more traditional spline constructions. But while singly generated spline bases typically do not produce orthonormal bases, each of our present algorithms does.