Differential Equations Driven by Gaussian Signals

We consider multi-dimensional Gaussian processes and give a novel, simple and

sharp condition on its covariance (finiteness of its two dimensional rho-variation,

for some rho <2) for the existence of "natural" Levy areas and higher iterated

integrals, and subsequently the existence of Gaussian rough paths. We prove a

variety of (weak and strong) approximation results, large deviations, and

support description.

Rough path theory then gives a theory of differential equations driven by

Gaussian signals with a variety of novel continuity properties, large deviation

estimates and support descriptions generalizing classical results of

Freidlin-Wentzell and Stroock-Varadhan respectively.

(Joint work with Nicolas Victoir.)