A combinatorial method for calculating the moments of Lévy area
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- by Daniel Levin and Mark Wildon PDF
- Trans. Amer. Math. Soc. 360 (2008), 6695-6709 Request permission
Abstract:
We present a new way to compute the moments of the Lévy area of a two-dimensional Brownian motion. Our approach uses iterated integrals and combinatorial arguments involving the shuffle product.References
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Additional Information
- Daniel Levin
- Affiliation: Mathematical Institute, University of Oxford, 24-29 St Giles’, Oxford OX1 3LB, United Kingdom
- Email: levin@maths.ox.ac.uk
- Mark Wildon
- Affiliation: Department of Mathematics, University of Wales, Swansea, Singleton Park, Swansea SA2 8PP, United Kingdom
- Email: m.j.wildon@swansea.ac.uk
- Received by editor(s): February 1, 2007
- Received by editor(s) in revised form: April 16, 2007
- Published electronically: July 24, 2008
- Additional Notes: The first author was supported by the EPSRC Fellowship “Partial differential equations — A rough path approach” GR/S18526/01
The second author was supported by EPSRC Grant EP/D054664/1 - © Copyright 2008 American Mathematical Society
- Journal: Trans. Amer. Math. Soc. 360 (2008), 6695-6709
- MSC (2000): Primary 60J65; Secondary 05A15
- DOI: https://doi.org/10.1090/S0002-9947-08-04526-1
- MathSciNet review: 2434307