Journal article

Finite dimensional characteristic functions of Brownian rough path

Abstract:: The Brownian rough path is the canonical lifting of Brownian motion to the free nilpotent Lie group of order 2: Equivalently, it is a process taking values in the algebra of Lie polynomials of degree 2, which is described explicitly by the Brownian motion coupled with its area process. The aim of this article is to compute the finite dimensional characteristic functions of the Brownian rough path in Rd and obtain an explicit formula for the case when d = 2

Publication status:: Published

Peer review status:: Peer reviewed

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APA Style

Geng, X., & Qian, Z. (2017). Finite dimensional characteristic functions of Brownian rough path. Frontiers of Mathematics in China, 12(4), 859–877.

MLA Style

Geng, X., and Z. Qian. “Finite Dimensional Characteristic Functions of Brownian Rough Path.” Frontiers of Mathematics in China, vol. 12, no. 4, Springer Verlag, 2017, pp. 859–77.

Chicago Style

Geng, X, and Z Qian. 2017. “Finite Dimensional Characteristic Functions of Brownian Rough Path.” Frontiers of Mathematics in China 12 (4): 859–77.
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Publisher copy:: 10.1007/s11464-017-0648-x

Authors

+ Geng, X More by this author

Role:: Author

+ Qian, Z More by this author

Institution:: University of Oxford
Oxford college:: Exeter College
Role:: Author

+ European Research Council More from this funder

Grant:: 291244

Publisher:: Springer Verlag
Journal:: Frontiers of Mathematics in China More from this journal
Volume:: 12
Issue:: 4
Pages:: 859-877
Publication date:: 2017-05-13
Acceptance date:: 2017-04-17
DOI:: 10.1007/s11464-017-0648-x
EISSN:: 1673-3576
ISSN:: 1673-3452

Keywords:: Brownian rough paths

Riccati system

finite dimensional characteristic functions
Pubs id:: pubs:697302
UUID:: uuid:bb9b7d40-cba8-4863-bb97-156aeca2182d
Local pid:: pubs:697302
Source identifiers:: 697302
Deposit date:: 2017-06-09

Terms of use

Copyright holder:: © Higher Education Press and Springer-Verlag Berlin Heidelberg 2017
Copyright date:: 2017

Licence:: Terms and Conditions of Use for Oxford University Research Archive

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