| Autor: |
Ferreiro-Castilla, Albert, Utzet, Frederic |
| Rok vydání: |
2010 |
| Předmět: |
|
| Druh dokumentu: |
Working Paper |
| Popis: |
Let $\{X_{1}(t)\}_{0\leq t\leq1}$ and $\{X_{2}(t)\}_{0\leq t\leq1}$ be two independent continuous centered Gaussian processes with covariance functions$R_{1}$ and $R_{2}$. This paper shows that if the covariance functions are of finite $p$-variation and $q$-variation respectively and such that $p^{-1}+q^{-1}>1$,then the L{\'e}vy area can be defined as a double Wiener--It\`o integral with respect to an isonormal Gaussian process induced by $X_{1}$ and $X_{2}$. Moreover, some properties of the characteristic function of that generalised L{\'e}vy area are studied. |
| Databáze: |
arXiv |
| Externí odkaz: |
|
