The Lévy area process for the free Brownian motion

DOI10.1006/jfan.2000.3679zbMath0979.60044OpenAlexW2091843692MaRDI QIDQ5927510

Mireille Capitaine, Catherine Donati-Martin

Publication date: 17 February 2002

Published in: Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jfan.2000.3679

zbMATH Keywords

differential equation driven by rough pathfree Brownian motionLévy area process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations and systems with randomness (34F05) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items

Lévy area of Wiener processes in Banach spaces ⋮ On the rough-paths approach to non-commutative stochastic calculus ⋮ Levy area for the free Brownian motion: existence and non-existence. ⋮ An extension theorem to rough paths ⋮ Functionals of the Brownian Bridge ⋮ On the signature of a path in an operator algebra

Cites Work

• Flow of diffeomorphisms induced by a geometric multiplicative functional
• Differential equations driven by rough signals
• Stochastic calculus with respect to free Brownian motion and analysis on Wigner space
• Stochastic area for Brownian motion on the Sierpiński gasket
• Multiplicative functions on the lattice of non-crossing partitions and free convolution
• Free Random Variables
• Stochastic differential equations for fractional Brownian motions
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