Abstract
In this paper, we give a pathwise development of stochastic integrals with respect to iterated Brownian motion. We also provide a detailed analysis of the variations of iterated Brownian motion. These variations are linked to Brownian motion in random scenery and iterated Brownian motion itself.
Citation
Davar Khoshnevisan. Thomas M. Lewis. "Stochastic calculus for Brownian motion on a Brownian fracture." Ann. Appl. Probab. 9 (3) 629 - 667, August 1999. https://doi.org/10.1214/aoap/1029962807
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