Lévy's stochastic area formula for gaussian processes

DOI10.1002/CPA.3160470306zbMATH Open0803.60037OpenAlexW1982528996MaRDI QIDQ4296342FDOQ4296342

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

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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)

Cites Work

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

Cited In (7)

• Quadratic Wiener functionals and dynamics on Grassmannians
• Lévy area for Gaussian processes: a double Wiener-Itô integral approach
• The Lévy area process for the free Brownian motion
• Title not available (Why is that?)
• Finite dimensional characteristic functions of Brownian rough path
• Variations sur une formule de Paul Lévy. (Variations on a formula of Paul Levý)
• Some Brownian functionals and their laws

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