Formule de Green, lacet brownien plan et aire de Lévy

Wendelin Werner

Stochastic Processes and their Applications, 1995, vol. 57, issue 2, 225-245

Abstract: We study some functionals related to the windings of the planar Brownian loop. We derive an analogue to Green's formula in the case where the boundary is given by a planar Brownian loop. This leads to geometric approximations of Lévy's stochastic area.Résumé Nous étudions certaines quantités associées aux nombre de tours effectués par le lacet brownien plan. Nous établissons un analogue de la formule de Green dans le cas où l'on intègre par rapport à un lacet brownien plan. Ceci entraîne des approximations géométriques de l'aire de Lévy.

Keywords: Green's; formula; Planar; Brownian; motion; Lévy's; area; 26B20; 60H05; 60J65 (search for similar items in EconPapers)
Date: 1995
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