L\'evy area with a drift as a renormalization limit of Markov chains on periodic graphs

2016 
A careful look at rough path topology applied to Brownian motion reveals new possible properties of the well-known L\'evy area, in particular the presence of an intrinsic drift of this area. Using renormalization limit of Markov chains on periodic graphs, we present a construction of such a non-trivial drift and give an explicit formula for it. Several examples for which explicit computations are made are included.
    • Correction
    • Cite
    • Save
    • Machine Reading By IdeaReader
    0
    References
    0
    Citations
    NaN
    KQI
    []