Stochastic area for Brownian motion on the Sierpinski gasket

被引:0
|
作者
Hambly, BM
Lyons, TJ
机构
[1] Univ Edinburgh, Dept Math & Stat, Edinburgh EH9 3JZ, Midlothian, Scotland
[2] Univ London Imperial Coll Sci Technol & Med, Dept Math, London SW7 2BZ, England
来源
ANNALS OF PROBABILITY | 1998年 / 26卷 / 01期
关键词
stochastic area; differential equations; fractals;
D O I
暂无
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We construct a Levy stochastic area for Brownian motion on the Sierpinski gasket. The standard approach via Ito integrals fails because this diffusion has sample paths which are far rougher than those of semimartingales. We thus provide an example demonstrating the restrictions of the semimartingale framework. As a consequence of the existence of the area one has a stochastic calculus and can solve stochastic differential equations driven by Brownian motion on the Sierpinski gasket.
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页码:132 / 148
页数:17
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