Finite dimensional characteristic functions of Brownian rough path

Abstract

The Brownian rough path is the canonical lifting of Brownian motion to the free nilpotent Lie group of order 2. Equivalently, it is a process taking values in the algebra of Lie polynomials of degree 2, which is described explicitly by the Brownian motion coupled with its area process. The aim of this article is to compute the finite dimensional characteristic functions of the Brownian rough path in {ℝ}^d and obtain an explicit formula for the case when d = 2.

Keywords

Brownian rough paths / finite dimensional characteristic functions / Riccati system

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