Lévy area for Gaussian processes: A double Wiener-Itô integral approach

Albert Ferreiro-Castilla, Frederic Utzet

Published 2010-07-15Version 1

Let $\{X_{1}(t)\}_{0\leq t\leq1}$ and $\{X_{2}(t)\}_{0\leq t\leq1}$ be two independent continuous centered Gaussian processes with covariance functions$R_{1}$ and $R_{2}$. This paper shows that if the covariance functions are of finite $p$-variation and $q$-variation respectively and such that $p^{-1}+q^{-1}>1$,then the L{\'e}vy area can be defined as a double Wiener--It\`o integral with respect to an isonormal Gaussian process induced by $X_{1}$ and $X_{2}$. Moreover, some properties of the characteristic function of that generalised L{\'e}vy area are studied.