Past exam of the mathematics course of the University of Cambridge / 2024 / iii / Paper 225 / 1 / a / i

This is the Brownian covariance kernel, so its integral operator is a covariance operator. To obtain its eigendecomposition, suppose $Uf=\lambda f$ with $\lambda \ne 0$. Splitting the integral at $s$ givesDifferentiation yields $\lambda f^{\prime }(s)={\int }_s^{1}f(t)dt$ and $\lambda f^{\prime \prime }(s)=-f(s)$, with boundary conditions $f(0)=0$ and $f^{\prime }(1)=0$. Hence the normalized eigenpairs areThe eigenvalues are positive and summable, consistently with positivity and the trace-class operator property of a covariance operator.