Differential equations driven by Gaussian signals
Friz, Peter ; Victoir, Nicolas
Ann. Inst. H. Poincaré Probab. Statist., Tome 46 (2010) no. 1, p. 369-413 / Harvested from Project Euclid
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We consider multi-dimensional Gaussian processes and give a new condition on the covariance, simple and sharp, for the existence of Lévy area(s). Gaussian rough paths are constructed with a variety of weak and strong approximation results. Together with a new RKHS embedding, we obtain a powerful – yet conceptually simple – framework in which to analyze differential equations driven by Gaussian signals in the rough paths sense.
Publié le : 2010-05-15
Classification:  Rough paths,  Gaussian processes,  60G15,  60H99 
@article{1273584128,
     author = {Friz, Peter and Victoir, Nicolas},
     title = {Differential equations driven by Gaussian signals},
     journal = {Ann. Inst. H. Poincar\'e Probab. Statist.},
     volume = {46},
     number = {1},
     year = {2010},
     pages = { 369-413},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1273584128}
}

Friz, Peter; Victoir, Nicolas. Differential equations driven by Gaussian signals. Ann. Inst. H. Poincaré Probab. Statist., Tome 46 (2010) no. 1, pp.  369-413. http://gdmltest.u-ga.fr/item/1273584128/