Stochastic calculus for Brownian motion on a Brownian fracture (Q1578583): Difference between revisions

The paper is motivated by the study of the heat flow on the so-called Brownian fracture; its main purpose is to develop a pathwise stochastic integration for iterated Brownian motion, viz. \(Z=X\circ Y\), where \(X\) is a two-sided Brownian motion and \(Y\) an independent (one-sided) Brownian motion. The authors present both pathwise limit theorems for the existence of some Stratonovich integral and \(p\)-variation for \(p=2,3,4\), and limit theorems in law related to the fluctuations of the latter. It is interesting to see how Brownian motion in random scenery arises in the corresponding limiting distributions.