Iterated Brownian Motion and its Intrinsic Skeletal Structure

Abstract

This is an overview of some recent results on the stochastic analysis of iterated Brownian motion. In particular, we make explicit an intrinsic skeletal structure for the iterated Brownian motion which can be thought of as the analogue of the strong Markov property. As a particular application, we derive a change of variables ( i.e ., Itô’s) formula for iterated Brownian motion. These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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