Differential equations driven by Gaussian signals (Q985327): Difference between revisions

Considering multi-dimensional Gaussian processes, the authors provide a new, simple yet sharp, condition on the covariance that allows the existence of the Lévy area. Gaussian rough paths are given for a variety of weak and strong approximation results, the matters of tightness, convergence and Karhunen-Loève approximations being examined. The development of a new RKHS embedding enables the authors to provide a framework for the analysis of differential equations driven in a rough path sense by Gaussian signals.