Stochastic calculus for Brownian motion on a Brownian fracture
Khoshnevisan, Davar ; Lewis, Thomas M.
Ann. Appl. Probab., Tome 9 (1999) no. 1, p. 629-667 / Harvested from Project Euclid
Text on Project Euclid
PDF
Alt PDF
In this paper, we give a pathwise development of stochastic integrals with respect to iterated Brownian motion. We also provide a detailed analysis of the variations of iterated Brownian motion. These variations are linked to Brownian motion in random scenery and iterated Brownian motion itself.
Publié le : 1999-08-14
Classification:  Iterated Brownian motion,  Brownian motion in random scenery,  stochastic integration,  sample-path variations,  excursion theory,  60H05,  60K20,  60F12 
@article{1029962807,
     author = {Khoshnevisan, Davar and Lewis, Thomas M.},
     title = {Stochastic calculus for Brownian motion on a Brownian
		 fracture},
     journal = {Ann. Appl. Probab.},
     volume = {9},
     number = {1},
     year = {1999},
     pages = { 629-667},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1029962807}
}

Khoshnevisan, Davar; Lewis, Thomas M. Stochastic calculus for Brownian motion on a Brownian
		 fracture. Ann. Appl. Probab., Tome 9 (1999) no. 1, pp.  629-667. http://gdmltest.u-ga.fr/item/1029962807/