The Brownian rough path is the canonical lifting of Brownian motion to the free nilpotent Lie group of order 2. Equivalently, it is a process taking values in the algebra of Lie polynomials of degree 2, which is descr...The Brownian rough path is the canonical lifting of Brownian motion to the free nilpotent Lie group of order 2. Equivalently, it is a process taking values in the algebra of Lie polynomials of degree 2, which is described explicitly by the Brownian motion coupled with its area process. The aim of this article is to compute the finite dimensional characteristic functions of the Brownian rough path in IRd and obtain an explicit formula for the case when d = 2.展开更多
文摘The Brownian rough path is the canonical lifting of Brownian motion to the free nilpotent Lie group of order 2. Equivalently, it is a process taking values in the algebra of Lie polynomials of degree 2, which is described explicitly by the Brownian motion coupled with its area process. The aim of this article is to compute the finite dimensional characteristic functions of the Brownian rough path in IRd and obtain an explicit formula for the case when d = 2.
