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The Lévy Area Process for the Free Brownian Motion

✍ Scribed by M. Capitaine; C. Donati-Martin

Publisher
Elsevier Science
Year
2001
Tongue
English
Weight
162 KB
Volume
179
Category
Article
ISSN
0022-1236

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✦ Synopsis

In this paper, we construct a Le vy area process for the free Brownian motion and in this way, a typical geometric rough path (in the sense of T. Lyons (1998, Rev. Mat. Iberoamer. 14, 215 310)), lying above the free Brownian path. Thus, the general results of Lyons on differential equations driven by rough paths may be applied to the free Brownian motion case.

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