Article ID Journal Published Year Pages File Type
7550151 Stochastic Processes and their Applications 2018 23 Pages PDF
Abstract
A careful look at rough path topology applied to Brownian motion reveals new possible properties of the well-known Lévy area, in particular the presence of an intrinsic drift of this area. Using renormalization limit of Markov chains on periodic graphs, we present a construction of such a non-trivial drift and give an explicit formula for it. Several examples with explicit computations are included.
Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
Authors
, ,