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

Abstract: Let

{X_{1} (t)}_{0 l e q t l e q 1}

and

{X_{2} (t)}_{0 l e q t l e q 1}

be two independent continuous centered Gaussian processes with covariance functions

R_{1}

and

R_{2}

. This paper shows that if the covariance functions are of finite

p

-variation and

q

-variation respectively and such that

p^{- 1} + q^{- 1} > 1

,then the L{'e}vy area can be defined as a double Wiener--It`o integral with respect to an isonormal Gaussian process induced by

X_{1}

and

X_{2}

. Moreover, some properties of the characteristic function of that generalised L{'e}vy area are studied.

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