Volume 13, January 2009
|Page(s)||247 - 260|
|Published online||04 July 2009|
Enhanced Gaussian processes and applications
Map5, Université Paris Descartes, Paris, France; Laure.Coutin@math-info.univ-paris5.fr
Revised: 5 October 2007
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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