Stochastic area for Brownian motion on the Sierpinski gasket

Annals of Probability

Volumn 26, Issue 1, 1998, Pages 132-148

  Hambly, B M ^a   Lyons, T J ^a,b  

^a UNIVERSITY OF EDINBURGH   (United Kingdom)

^b IMPERIAL COLLEGE LONDON   (United Kingdom)

Author keywords

Differential equations; Fractals; Stochastic area

Indexed keywords

EID: 0032341646     PISSN: 00911798     EISSN: None     Source Type: Journal    
DOI: 10.1214/aop/1022855414     Document Type: Article

References (7)

1. BARLOW, M. T. and PERKINS, E. A. (1988). Brownian motion on the Sierpinski gasket. Probab. Theory Related Fields 79 543-624.
2. LÉVY, P. (1948). Processus Stochastiques et Mouvement Brownien. Gauthier-Villars, Paris.
3. LYONS, T. J. (1995). Differential equations driven by rough signals. Rev. Mat. Iberoamericana. To appear.
4. PROTTER, P. (1977). On the existence, uniqueness, convergence and explosions of solutions of systems of stochastic differential equations. Ann. Probab. 5 243-261.
5. SIPILÄINEN, E.-M. (1993). A pathwise view of solutions of stochastic differential equations Ph.D. dissertation, Univ. Edinburgh.
6. WONG, E. and ZAKAI, M. (1965). On the relationship between ordinary and stochastic differential equations. Internat. J. Engrg. Sci. 3 213-229.
7. WONG, E. and ZAKAI, M. (1965). On the convergence of ordinary integrals to stochastic integrals. Ann. Math. Statist. 36 1560-1564.