Levy's stochastic area formula in higher dimensions

DOI10.1016/0022-1236(83)90053-8MaRDI QIDQ1056147zbMATH OpenOpenAlexFDO

Authors A. Schwane, K. Helmes

Publication date 1983

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0022-1236(83)90053-8

zbMATH Keywords

Girsanov formulaHeisenberg grouphypoelliptic operatorsstochastic area process

Mathematics Subject Classification ID

Diffusion processes and stochastic analysis on manifolds (58J65) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Continuous-time Markov processes on general state spaces (60J25) Diffusion processes (60J60) Brownian motion (60J65) Numerical computation of solutions to systems of equations (65H10)

Cites work

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Cited in

(7)

• Étude de processus généralisant l'aire de Lévy
• On an extension of Lévy's stochastic area process to higher dimensions
• An approximation scheme for diffusion processes based on an antisymmetric calculus over Wiener space
• Finite dimensional characteristic functions of Brownian rough path
• An approximation of small-time probability density functions in a general jump diffusion model
• Signature SDEs from an affine and polynomial perspective
• Nonequilibrium oscillations, probability angular momentum, and the climate system

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