Enhanced Gaussian processes and applications

DOI10.1051/PS:2008007MaRDI QIDQ5851020zbMATH OpenOpenAlexFDO

Authors L. Coutin, Nicolas Victoir

Publication date 21 January 2010

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/245535

zbMATH Keywords

Gaussian processesrough path theoryVolterra processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Sample path properties (60G17)

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Cites work

• An Introduction to (Stochastic) Calculus with Respect to Fractional Brownian Motion
• Approximations of the Brownian rough path with applications to stochastic analysis
• Are classes of deterministic integrands for fractional Brownian motion on an interval complete?
• Differential equations driven by rough signals
• Good rough path sequences and applications to anticipating stochastic calculus
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• Stochastic analysis of the fractional Brownian motion
• Stochastic analysis, rough path analysis and fractional Brownian motions.
• Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
• Stochastic integration with respect to Volterra processes
• System Control and Rough Paths
• Variations sur une formule de Paul Lévy. (Variations on a formula of Paul Levý)

Cited in

(9)

• Nested polynomial trends for the improvement of Gaussian process-based predictors
• Improving performances of MCMC for nearest neighbor Gaussian process models with full data augmentation
• Convergence of multi-dimensional quantized SDEs
• Multiresolution Hilbert approach to multidimensional Gauss-Markov processes
• Computational enhancements to Bayesian design of experiments using Gaussian processes
• Gaussian process hydrodynamics
• Finite-dimensional models for response analysis
• Gaussian processes with built-in dimensionality reduction: applications to high-dimensional uncertainty propagation
• Differential equations driven by Gaussian signals

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