Lévy area for Gaussian processes: a double Wiener-Itô integral approach

DOI10.1016/j.spl.2011.04.015zbMath1233.60019arXiv1007.2516OpenAlexW2021199267MaRDI QIDQ553091

Albert Ferreiro-Castilla, Frederic Utzet

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1007.2516

zbMATH Keywords

fractional Brownian motion\(p\)-variationLévy areaYoung's inequalitymultiple Wiener-itô integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Geometric probability and stochastic geometry (60D05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

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