Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7550151 | Stochastic Processes and their Applications | 2018 | 23 Pages |
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
Olga Lopusanschi, Damien Simon,