A combinatorial method for calculating the moments of Lévy area

Details A combinatorial method for calculating the moments of Lévy area A combinatorial method for calculating the moments of Lévy area

2007-01-31

arxiv.org/abs/math/0702002v1

Mathematics

Probability

15 pages, 6 figures

Scientific paper

We present a new way to compute the moments of the L\'evy area of a
two-dimensional Brownian motion. Our approach uses iterated integrals and
combinatorial arguments involving the shuffle product.

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