Stochastic calculus for Brownian motion on a Brownian fracture

• 成果类型: Article
• 署名作者: Khoshnevisan, D; Lewis, TM
• 署名单位: Utah System of Higher Education; University of Utah
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• 发表日期: 1999
• 页码: 629-667
• 关键词: iterated wiener-processes; limit-theorem; Local Time; logarithm; diffusion; LAW

摘要

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.