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.
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