Lévy area for Gaussian processes: A double Wiener-Itô integral approach

Albert Ferreiro-Castilla and Frederic Utzet

Statistics & Probability Letters, 2011, vol. 81, issue 9, 1380-1391

Abstract: Let {X1(t)}0 1, then the Lévy area can be defined as a double Wiener-Itô integral with respect to an isonormal Gaussian process induced by X1 and X2. Moreover, some properties of the characteristic function of that generalised Lévy area are studied.

Keywords: Levy; area; p-variation; Fractional; Brownian; motion; Multiple; Wiener-Ito; integral; Young's; inequality (search for similar items in EconPapers)
Date: 2011
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