Issue |
ESAIM: PS
Volume 16, 2012
|
|
---|---|---|
Page(s) | 399 - 424 | |
DOI | https://doi.org/10.1051/ps/2011020 | |
Published online | 31 August 2012 |
Density of paths of iterated Lévy transforms of Brownian motion
15, avenue Gambetta, 94160 St-Mandé, France
marc.malric@gmail.com
Received:
24
February
2009
The Lévy transform of a Brownian motion B is the Brownian motion B(1) given by Bt(1) = ∫0tsgn(Bs)dBs; call B(n) the Brownian motion obtained from B by iterating n times this transformation. We establish that almost surely, the sequence of paths (t → Bt(n))n⩾0 is dense in Wiener space, for the topology of uniform convergence on compact time intervals.
Mathematics Subject Classification: 60g99 / 60j65 / 37a05 / 37a50 / 37a25
Key words: Brownian motion / Lévy transform / excursions / zeroes of Brownian motion / ergodicity
© EDP Sciences, SMAI, 2012
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