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In this paper, we propose and investigate the performance of optimal power loading algorithms towards scalable video transmission over an Orthogonal Frequency Division Multiplexing (OFDM) based Cognitive radio (CR) system. The proposed power allocation scheme minimizes the overall video distortion while restricting secondary user interference. For this purpose, we employ the two level Daubechies wavelet D2 to encode the video as a layered scalable stream comprising of one Base layer and several enhancement layers. The coded video layers are assigned to the secondary OFDM subcarriers of the CR user. A convex optimization framework is developed for video distortion as a function of the subcarrier power allocation. We employ this framework and derive a closed form expression towards the optimal power allocation for video quality maximization. We also propose a low complexity scheme for near optimal video transmission. The performances of the proposed optimal schemes are compared in terms of the Peak Signal to Noise Ratio (PSNR) of the received video stream in the OFDM CR wireless system. Presented numerical results demonstrate that the proposed optimal scheme results in a significantly enhanced PSNR of video transmission compared to the competing scalable and non-scalable schemes.