Abstract
This is an overview of some recent results on the stochastic analysis of iterated Brownian motion. In particular, we make explicit an intrinsic skeletal structure for the iterated Brownian motion which can be thought of as the analogue of the strong Markov property. As a particular application, we derive a change of variables (i.e., Itô’s) formula for iterated Brownian motion.
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Khoshnevisan, D., Lewis, T.M. (1999). Iterated Brownian Motion and its Intrinsic Skeletal Structure. In: Dalang, R.C., Dozzi, M., Russo, F. (eds) Seminar on Stochastic Analysis, Random Fields and Applications. Progress in Probability, vol 45. Birkhäuser, Basel. https://doi.org/10.1007/978-3-0348-8681-9_13
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DOI: https://doi.org/10.1007/978-3-0348-8681-9_13
Publisher Name: Birkhäuser, Basel
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