From Constructive Field Theory to Fractional Stochastic Calculus. (II) Constructive Proof of Convergence for the Lévy Area of Fractional Brownian Motion with Hurst Index

From Constructive Field Theory to Fractional Stochastic Calculus. (II) Constructive Proof of Convergence for the Lévy Area of Fractional Brownian Motion with Hurst Index

Let B  = ( B 1 ( t ), . . . , B d ( t )) be a d -dimensional fractional Brownian motion with Hurst index α  

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Veröffentlicht in:Annales Henri Poincaré 2012-03, Vol.13 (2), p.209-270
Hauptverfasser: Magnen, Jacques, Unterberger, Jérémie
Format: Artikel
Sprache:eng
Schlagworte:
Classical and Quantum Gravitation
Dynamical Systems and Ergodic Theory
Elementary Particles
Mathematical and Computational Physics
Mathematical Methods in Physics
Physics
Physics and Astronomy
Quantum Field Theory
Quantum Physics
Relativity Theory
Theoretical
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Beschreibung
Zusammenfassung:Let B  = ( B 1 ( t ), . . . , B d ( t )) be a d -dimensional fractional Brownian motion with Hurst index α  
ISSN:1424-0637
1424-0661
DOI:10.1007/s00023-011-0119-y