GREENS, FORMULA, PLANAR BROWNIAN LOOP AND LEVYS AREA

Authors
WERNER W
Citation
W. Werner, GREENS, FORMULA, PLANAR BROWNIAN LOOP AND LEVYS AREA, Stochastic processes and their applications, 57(2), 1995, pp. 225-245
Citations number
17
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Stochastic processes and their applications → ACNP
ISSN journal
03044149
Volume
57
Issue
2
Year of publication
1995
Pages
225 - 245
Database
ISI
SICI code
0304-4149(1995)57:2<225:GFPBLA>2.0.ZU;2-A
Abstract
We study some functionals related to the windings of the planar Browni an loop. We derive an analogue to Green's formula in the case where th e boundary is given by a planar Brownian loop. This leads to geometric approximations of Levy's stochastic area.