Enhanced Gaussian processes and applications

DOI10.1051/ps:2008007zbMath1181.60057OpenAlexW2165327915MaRDI QIDQ5851020

Laure 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)

Related Items (3)

Multiresolution Hilbert approach to multidimensional Gauss-Markov processes ⋮ Differential equations driven by Gaussian signals ⋮ Convergence of Multi-Dimensional Quantized SDE’s

Cites Work

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

This page was built for publication: Enhanced Gaussian processes and applications