Author
Geng, X
Qian, Z
Journal title
Frontiers of Mathematics in China
DOI
10.1007/s11464-017-0648-x
Issue
4
Volume
12
Last updated
2024-04-11T19:53:03.453+01:00
Page
859-877
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
Symplectic ID
697302
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Publication type
Journal Article
Publication date
13 May 2017
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