Abstract
We give a canonical representation for a centered Gaussian process which has a factorizable covariance function with respect to a positive measure. We also investigate this representation in order to construct a stochastic calculus with respect to this Gaussian process.
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Erraoui, M., Essaky, E.H. (2009). Canonical Representation for Gaussian Processes. In: Donati-Martin, C., Émery, M., Rouault, A., Stricker, C. (eds) Séminaire de Probabilités XLII. Lecture Notes in Mathematics(), vol 1979. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-01763-6_13
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DOI: https://doi.org/10.1007/978-3-642-01763-6_13
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