On the Finite Dimensional Joint Characteristic Function of L\'{e}vy's Stochastic Area Processes

arXiv1206.1241MaRDI QIDQ6233498FDOQ6233498

Authors: X. Geng, Zhongmin Qian 

Publication date: 6 June 2012

Abstract: The goal of this paper is to derive a formula for the finite dimensional joint characteristic function (the Fourier transform of the finite dimensional distribution) of the coupled process $(W_t,L_t^A):tinlbrack0,infty)$, where $W_t:tinlbrack0,infty)$ is a $d$-dimensional Brownian motion and $L_t^A:tinlbrack0,infty)$ is the generalized $d$-dimensional L$acutee$vy's stochastic area process associated to a $dimesd$ matrix $A.$ Here $A$ need not be skew-symmetric, and in our computation we allow $A$ to vary. The problem finally reduces to the solution of a recursive system of symmetric matrix Riccati equations and a system of independent first order linear matrix ODEs. As an example, the two dimensional L'{e}vy's stochastic area process is studied in detail.

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