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Stochastic area for Brownian motion on the Sierpiński gasket. (English) Zbl 0936.60073
Summary: We construct a Lévy stochastic area for Brownian motion on the Sierpiński gasket. The standard approach via Itô integrals fails because this diffusion has sample paths which are far rougher than those of semimartingales. We thus provide an example demonstrating the restrictions of the semimartingale framework. As a consequence of the existence of the area one has a stochastic calculus and can solve stochastic differential equations driven by Brownian motion on the Sierpiński gasket.

MSC:
60J60 Diffusion processes
60J65 Brownian motion
60J25 Continuous-time Markov processes on general state spaces
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