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

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  • Ferreiro-Castilla, Albert
  • Utzet, Frederic

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.

Suggested Citation

  • Ferreiro-Castilla, Albert & Utzet, Frederic, 2011. "Lévy area for Gaussian processes: A double Wiener-Itô integral approach," Statistics & Probability Letters, Elsevier, vol. 81(9), pages 1380-1391, September.
    • Handle: RePEc:eee:stapro:v:81:y:2011:i:9:p:1380-1391
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    References listed on IDEAS

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    1. Neuenkirch, A. & Tindel, S. & Unterberger, J., 2010. "Discretizing the fractional Lévy area," Stochastic Processes and their Applications, Elsevier, vol. 120(2), pages 223-254, February.
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