Lévy's stochastic area formula for gaussian processes

DOI10.1002/cpa.3160470306zbMath0803.60037OpenAlexW1982528996MaRDI QIDQ4296342

Shojiro Manabe, Shigeo Kusuoka, Nobuyuki Ikeda

Publication date: 3 January 1995

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cpa.3160470306

zbMATH Keywords

Fourier transformGaussian processesregularized determinantLévy's stochastic area

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65) Diffusion processes (60J60) Stochastic integrals (60H05)

Related Items

Some Brownian functionals and their laws, Finite dimensional characteristic functions of Brownian rough path, Quadratic Wiener functionals and dynamics on Grassmannians

Cites Work

• Large deviations and the Malliavin calculus
• An extension of lévy's stochastic area formula