Displaying similar documents to “Identities in law between quadratic functionals of bivariate Gaussian processes, through Fubini theorems and symmetric projections”

Enhanced Gaussian processes and applications

Laure Coutin, Nicolas Victoir (2009)

ESAIM: Probability and Statistics

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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.

Invariance principle, multifractional gaussian processes and long-range dependence

Serge Cohen, Renaud Marty (2008)

Annales de l'I.H.P. Probabilités et statistiques

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This paper is devoted to establish an invariance principle where the limit process is a multifractional gaussian process with a multifractional function which takes its values in (1/2, 1). Some properties, such as regularity and local self-similarity of this process are studied. Moreover the limit process is compared to the multifractional brownian motion.