| Autor: |
Hudson, Robin, Schauz, Uwe, Wu, Yue |
| Rok vydání: |
2016 |
| Předmět: |
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| Druh dokumentu: |
Working Paper |
| Popis: |
We study a family of quantum analogs of L\'evy's stochastic area for planar Brownian motion depending on a variance parameter $\sigma \geq 1$ which deform to the classical L\'evy area as $\sigma\rightarrow\infty$. They are defined as second rank iterated stochastic integrals against the components of planar Brownian motion, which are one-dimensional Brownian motions satisfying Heisnberg-type commutation relations. Such iterated integrals can be multiplied using the sticky shuffle product determined by the underlying It\^o algebra of stochastic differentials. We use the corresponding Hopf algebra structure to evaluate the moments of the quantum L\'evy areas and study how they deform to their classical values, which are well known to be given essentially by the Euler numbers, in the infinite variance limit. |
| Databáze: |
arXiv |
| Externí odkaz: |
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