L\'evy area with a drift as a renormalization limit of Markov chains on periodic graphs
Probability
2017-09-14 v2
Abstract
A careful look at rough path topology applied to Brownian motion reveals new possible properties of the well-known L\'evy area, in particular the presence of an intrinsic drift of this area. Using renormalization limit of Markov chains on periodic graphs, we present a construction of such a non-trivial drift and give an explicit formula for it. Several examples for which explicit computations are made are included.
Keywords
Cite
@article{arxiv.1604.08947,
title = {L\'evy area with a drift as a renormalization limit of Markov chains on periodic graphs},
author = {Olga Lopusanschi and Damien Simon},
journal= {arXiv preprint arXiv:1604.08947},
year = {2017}
}
Comments
24 pages, 6 sections, 4 figures