Lévy's stochastic area formula for gaussian processes

DOI10.1002/CPA.3160470306MaRDI QIDQ4296342zbMATH OpenOpenAlexFDO

Authors Nobuyuki Ikeda, Shigeo Kusuoka, Shojiro Manabe

Publication date 3 January 1995

Published in Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/cpa.3160470306

zbMATH Keywords

Fourier transformGaussian processesregularized determinantLévy's stochastic area

Mathematics Subject Classification ID

Gaussian processes (60G15) Diffusion processes (60J60) Brownian motion (60J65) Stochastic integrals (60H05)

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Cites work

• An extension of lévy's stochastic area formula
• Large deviations and the Malliavin calculus

Cited in

(7)

• The Lévy area process for the free Brownian motion
• Variations sur une formule de Paul Lévy. (Variations on a formula of Paul Levý)
• Some Brownian functionals and their laws
• Finite dimensional characteristic functions of Brownian rough path
• Lévy area for Gaussian processes: a double Wiener-Itô integral approach
• Quadratic Wiener functionals and dynamics on Grassmannians
• scientific article; zbMATH DE number 3949378 (Why is no real title available?)

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