A new combinatorial method for calculating the moments of Lévy area
|
Mon, 19/01/2009 15:45 |
Dr Daniel Levin (Oxford) |
Stochastic Analysis Seminar  |
Oxford-Man Institute |
| We present a new way to compute the moments of the Lévy area of a two-dimensional Brownian motion. This is a classical problem of great importance, originally solved by Lévy. Our approach uses iterated integrals and combinatorial arguments involving the shuffle product (joint paper with Mark Wildon, Swansea). | |||