Lévy's area under conditioning (Q2490108): Difference between revisions
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| Property / author: Peter K. Friz / rank | |||
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| Property / author: Terence J. Lyons / rank | |||
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Revision as of 00:26, 10 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Lévy's area under conditioning |
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Lévy's area under conditioning (English)
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28 April 2006
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The authors give an estimation, for \(\alpha\in(0,1)\), of the \(\alpha\)-Hölder norm of a \(d\)-dimensional Brownian motion and its Lévy stochastic area, conditional on the Brownian path being uniformly small. The result is of interest in the analysis of stochastic integral equations via the theory of `rough paths'.
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Hölder topology
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support theorem
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rough path
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Brownian motion
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