L\'evy-areas of Ornstein-Uhlenbeck processes in Hilbert-spaces
Dynamical Systems
2014-11-19 v1
Abstract
In this paper we investigate the existence and some useful properties of the L\'evy areas of Ornstein-Uhlenbeck processes associated to Hilbert-space-valued fractional Brownian-motions with Hurst parameter . We prove that this stochastic area has a H\"older-continuous version with sufficiently large H\"older-exponent and that can be approximated by smooth areas. In addition, we prove the stationarity of this area.
Keywords
Cite
@article{arxiv.1411.4765,
title = {L\'evy-areas of Ornstein-Uhlenbeck processes in Hilbert-spaces},
author = {María J. Garrido-Atienza and Kening Lu and Björn Schmalfuss},
journal= {arXiv preprint arXiv:1411.4765},
year = {2014}
}
Comments
18 pages