Enhanced Gaussian processes and applications

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 : Mathematics
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Journal articles
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Laure Coutin, Nicolas Victoir. Enhanced Gaussian processes and applications. ESAIM: Probability and Statistics, EDP Sciences, 2009, 13, pp.247-260. ⟨10.1051/ps:2008007⟩. ⟨hal-00497325⟩

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