Year: 2007
Type: preprint
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.
Source: arXiv (Cornell University)
Authors: Friz, Peter, Victoir, Nicolas
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W4394653187