Lévy area with a drift as a renormalization limit of Markov chains on periodic graphs

DOI10.1016/J.SPA.2017.09.004zbMATH Open1396.60076arXiv1604.08947OpenAlexW2964311315MaRDI QIDQ1635908FDOQ1635908

Authors: Olga Lopusanschi, Damien Simon 

Publication date: 1 June 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: A careful look at rough path topology applied to Brownian motion reveals new possible properties of the well-known L'evy 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 for which explicit computations are made are included.

Full work available at URL: https://arxiv.org/abs/1604.08947

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zbMATH Keywords

Brownian motionMarkov chainsperiodic graphsLévy area

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Brownian motion (60J65) Functional limit theorems; invariance principles (60F17) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Cited In (8)

• Ballistic random walks in random environment as rough paths: convergence and area anomaly
• Central limit theorems for non-symmetric random walks on nilpotent covering graphs. I
• Additive functionals as rough paths
• Anomalous thermodynamics in homogenized generalized Langevin systems
• Rough invariance principle for delayed regenerative processes
• Area anomaly in the rough path Brownian scaling limit of hidden Markov walks
• Homogenisation for anisotropic kinetic random motions
• Lévy's area under conditioning

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