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ESAIM: PS, July 2009, Vol. 13, p. 247-260
DOI: 10.1051/ps:2008007
Enhanced Gaussian processes and applications
Laure Coutin and Nicolas VictoirMap5, 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
© EDP Sciences, SMAI 2009
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