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Enhanced Gaussian processes and applications

Published online by Cambridge University Press:  04 July 2009

Laure Coutin  and
Nicolas Victoir
Laure Coutin
Affiliation:
Map5, Université Paris Descartes, Paris, France; Laure.Coutin@math-info.univ-paris5.fr
Nicolas Victoir
Affiliation:
Map5, Université Paris Descartes, Paris, France; Laure.Coutin@math-info.univ-paris5.fr
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Abstract

We propose some construction of enhanced Gaussian processes using Karhunen-Loeve expansion. We obtain a characterization and some criterion of existence and uniqueness. Using rough-path theory, we derive some Wong-Zakai Theorem.

Keywords

Gaussian processesVolterra processesrough path theory
Type
Research Article
Information
ESAIM: Probability and Statistics , Volume 13 , July 2009 , pp. 247 - 260
Copyright
© EDP Sciences, SMAI, 2009

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