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Enhanced Gaussian processes and applications

Published online by Cambridge University Press:  04 July 2009

Laure Coutin
Affiliation:
Map5, Université Paris Descartes, Paris, France; [email protected]
Nicolas Victoir
Affiliation:
Map5, Université Paris Descartes, Paris, France; [email protected]
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Abstract

We propose some construction of enhanced Gaussian processes usingKarhunen-Loeve expansion. We obtain a characterization and somecriterion of existence and uniqueness. Using rough-path theory, wederive some Wong-Zakai Theorem.

Type
Research Article
Copyright
© EDP Sciences, SMAI, 2009

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