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Differential equations driven by Gaussian signals
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    Differential equations driven by Gaussian signals (English)
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    21 July 2010
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    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.
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    Gaussian processes
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    rough paths
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