Differential equations driven by Gaussian signals
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Publication:985327
DOI10.1214/09-AIHP202zbMATH Open1202.60058arXiv0707.0313OpenAlexW2059877345MaRDI QIDQ985327FDOQ985327
Authors: Nicolas Victoir, Peter Friz 
Publication date: 21 July 2010
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Abstract: We consider multi-dimensional Gaussian processes and give a new condition on the covariance, simple and sharp, for the existence of stochastic 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 analysize differential equations driven by Gaussian signals in the rough paths sense.
Full work available at URL: https://arxiv.org/abs/0707.0313
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