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A Haar-like basis for the Ornstein-Uhlenbeck process.

A new recursive way to construct brownian motion.

Our paper "A Haar-like basis for the Ornstein-Uhlenbeck process" was published in J. Stat. Phys. in February 2008. In this paper we extend the classical construction of the Haar basis for the Wiener process, onto the Ornstein-Uhlenbeck process, while preserving the special "compactness" properties of the basis, i.e., each basis element is compactly supported on a single interval between two dyadic rationals.

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