Issue ESAIM: PS Volume 13, 2009 Page(s) 247 - 260 DOI 10.1051/ps:2008007 Published online 04 July 2009

ESAIM: PS, July 2009, Vol. 13, p. 247-260
DOI: 10.1051/ps:2008007

Enhanced Gaussian processes and applications

Laure Coutin and Nicolas Victoir

Map5, Université Paris Descartes, Paris, France; Laure.Coutin@math-info.univ-paris5.fr

Received July 2, 2007. Revised October 5, 2007. Published online 4 July 2009

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.

Mathematics Subject Classification. 60G15, 60G17

Key words: Gaussian processes, Volterra processes, rough path theory


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