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.
Mots clés : gaussian processes, Volterra processes, rough path theory
@article{PS_2009__13__247_0, author = {Coutin, Laure and Victoir, Nicolas}, title = {Enhanced gaussian processes and applications}, journal = {ESAIM: Probability and Statistics}, pages = {247--260}, publisher = {EDP-Sciences}, volume = {13}, year = {2009}, doi = {10.1051/ps:2008007}, mrnumber = {2528082}, language = {en}, url = {http://www.numdam.org/articles/10.1051/ps:2008007/} }
TY - JOUR AU - Coutin, Laure AU - Victoir, Nicolas TI - Enhanced gaussian processes and applications JO - ESAIM: Probability and Statistics PY - 2009 SP - 247 EP - 260 VL - 13 PB - EDP-Sciences UR - http://www.numdam.org/articles/10.1051/ps:2008007/ DO - 10.1051/ps:2008007 LA - en ID - PS_2009__13__247_0 ER -
Coutin, Laure; Victoir, Nicolas. Enhanced gaussian processes and applications. ESAIM: Probability and Statistics, Tome 13 (2009), pp. 247-260. doi : 10.1051/ps:2008007. http://www.numdam.org/articles/10.1051/ps:2008007/
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