Levy's stochastic area formula in higher dimensions

DOI10.1016/0022-1236(83)90053-8zbMath0522.60082OpenAlexW4210666099MaRDI QIDQ1056147

A. Schwane, Kurt Helmes

Publication date: 1983

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

Full work available at URL: https://doi.org/10.1016/0022-1236(83)90053-8

zbMATH Keywords

Heisenberg groupGirsanov formulahypoelliptic operatorsstochastic area process

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Numerical computation of solutions to systems of equations (65H10) Brownian motion (60J65) Diffusion processes (60J60) Diffusion processes and stochastic analysis on manifolds (58J65) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (6)

Étude de processus généralisant l'aire de Lévy ⋮ Finite dimensional characteristic functions of Brownian rough path ⋮ An approximation of small-time probability density functions in a general jump diffusion model ⋮ On an extension of Lévy's stochastic area process to higher dimensions ⋮ An approximation scheme for diffusion processes based on an antisymmetric calculus over Wiener space ⋮ Nonequilibrium oscillations, probability angular momentum, and the climate system

Cites Work

• Least action principle, heat propagation and subelliptic estimates on certain nilpotent groups
• The distribution of energy in the Brownian motion in the Gaussian field and analytic-hypoellipticity of certain subelliptic operators on the Heisenberg group
• Heat kernels for class 2 nilpotent groups
• Fundamental Solutions for a Class of Hypoelliptic PDE Generated by Composition of Quadratic Forms
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Levy's stochastic area formula in higher dimensions