Finite dimensional characteristic functions of Brownian rough path
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 th...
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Format: | Journal article |
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Springer Verlag
2017
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