Enhanced Gaussian processes and applications

Laure Coutin; Nicolas Victoir

ESAIM: Probability and Statistics (2009)

  • Volume: 13, page 247-260
  • ISSN: 1292-8100

Abstract

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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.

How to cite

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Coutin, Laure, and Victoir, Nicolas. "Enhanced Gaussian processes and applications." ESAIM: Probability and Statistics 13 (2009): 247-260. <http://eudml.org/doc/250632>.

@article{Coutin2009,
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. },
author = {Coutin, Laure, Victoir, Nicolas},
journal = {ESAIM: Probability and Statistics},
keywords = {Gaussian processes; Volterra processes; rough path theory},
language = {eng},
month = {7},
pages = {247-260},
publisher = {EDP Sciences},
title = {Enhanced Gaussian processes and applications},
url = {http://eudml.org/doc/250632},
volume = {13},
year = {2009},
}

TY - JOUR
AU - Coutin, Laure
AU - Victoir, Nicolas
TI - Enhanced Gaussian processes and applications
JO - ESAIM: Probability and Statistics
DA - 2009/7//
PB - EDP Sciences
VL - 13
SP - 247
EP - 260
AB - 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.
LA - eng
KW - Gaussian processes; Volterra processes; rough path theory
UR - http://eudml.org/doc/250632
ER -

References

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