The Annal s of Pr obabi l i ty

1998, Vol . 26, No. 1, 132148

STOCHASTI C AREA FOR BROWNI AN MOTI ON
ON THE SI ERPI NSKI GASKET
By B. M. Hambly
1
and T. J. Lyons
2
Uni ver si ty of Edi nbur gh and I mper i al Col l ege, London
We const r uct a L evy st ochast i c ar ea for Br owni an mot i on on t he Si er-
pi nski gasket . The st andar d appr oach vi a I t o i nt egr al s fai l s because t hi s
di ffusi on has sampl e pat hs whi ch ar e far r ougher t han t hose of semi mar t i n-
gal es. We t hus pr ovi de an exampl e demonst r at i ng t he r est r i ct i ons of t he
semi mar t i ngal e fr amewor k. As a consequence of t he exi st ence of t he ar ea
one has a st ochast i c cal cul us and can sol ve st ochast i c di ffer ent i al equat i ons
dr i ven by Br owni an mot i on on t he Si er pi nski gasket .
1. I nt r oduct i on. The t r aj ect or i es of Br owni an mot i on on t he Si er pi nski
gasket ar e r ougher t han t hei r cl assi cal count er par t s and do not const i t ut e a
semi mar t i ngal e i n t he usual coor di nat e char t . Nonet hel ess we wi l l pr ove her e
t hat t he anal ogue of L evys ar ea pr ocess st i l l exi st s and t hat t he Br owni an
pat h, t oget her wi t h t hi s ar ea, has ni t e homogeneous p-var i at i on for any p >
(l og 5)/(l og 2) > 2.
Our mot i vat i on for const r uct i ng t he L evy ar ea for t hi s cl ass of pr ocesses
and est abl i shi ng i t s p-var i at i on l i es i n t he pi vot al r ol e an ar ea pr ocess pl ays
i n t he i nt er pr et at i on and sol ut i on of di ffer ent i al equat i ons of t he for m
dY
t
=
K
_
i=1
f
i
(Y
t
) dX
i
t
Y
0
= y (1.1)
1.1. Backgr ound. I f X i s a smoot h pat h and t he vect or el ds f
i
ar e Li p-
schi t z, t hen (1.1) can be i nt er pr et ed cl assi cal l y and possesses a uni que smoot h
sol ut i on Y. We wi l l r efer t o t hi s funct i onal X Y as t he I t o funct i onal .
For at l east t wo gener at i ons, pr obabi l i st s have been i nt er est ed i n wi deni ng
t he cl ass of X for whi ch t he I t o funct i onal i s dened. The ext ensi on i s t r i vi al
i n t he case wher e K = 1 or t he vect or el ds commut e and can be di smi ssed
as uni nt er est i ng, for i n t hi s speci al case t he I t o funct i onal i s cont i nuous i n
t he uni for m t opol ogy. Ext ensi on i n t he gener al case of noncommut i ng vect or
el ds i s a qui t e di ffer ent sor t of pr obl em, and one must over come some ser i ous
obst r uct i ons.
I t o pr ovi ded t he most cel ebr at ed and most i mpor t ant achi evement s i n t hi s
di r ect i on by r egar di ng (1.1) as an i dent i t y r el at i ng r andom var i abl es. Expl oi t -
i ng hi s i nt egr at i on t heor y, he pr oved t he exi st ence and uni queness of a r andom
Recei ved June 1996; r evi sed May 1997.
1
Suppor t ed i n par t by EC Cont r act St ochast i c Anal ysi s CT92-0784.
2
Suppor t ed by EPSRC Seni or Fel l owshi p B/93/SF/445, EPSRC Cont r act Di r i chl et Pr ocesses i n
Anal ysi s GR/J55946 and EC Cont r act St ochast i c Anal ysi s CT92-0784.
AMS 1991 subj ect cl assi cati ons. Pr i mar y 60J60; secondar y 60J65, 60J25.
Key wor ds and phr ases. St ochast i c ar ea, di ffer ent i al equat i ons, fr act al s.
132
STOCHASTI C AREA FOR A FRACTAL 133
pr ocess Ysol vi ng t he equat i on whenever Xwas a semi mar t i ngal e (or wi t h l aw
a measur e absol ut el y cont i nuous wi t h r espect t o a semi mar t i ngal e measur e).
I n t hi s case one can r eadi l y show t hat Y i s al so a semi mar t i ngal e.
Now, [6] and [7] pr ove t hat t he cl assi cal sol ut i ons t o (1.1), obt ai ned by t ak-
i ng dyadi c pol ygonal i nt er pol at i ons t o t he Br owni an mot i on, conver ge al most
sur el y t o t he St r at onovi ch sol ut i on (whi ch usual l y r equi r es const r uct i on usi ng
t he I t o t echnol ogy). Thi s pr ovi des a r easonabl e appr oach t o ext endi ng t he I t o
funct i onal fr om smoot h pat hs t o Br owni an and mor e gener al l y semi mar t i ngal e
pat hs.
However, t hi s I t oSt r at onovi ch ext ensi on i s cer t ai nl y not a cont i nuous ex-
t ensi on, and has cer t ai n pr obl ems associ at ed wi t h i t :
1. one can pr ove t hat for any nor m on pat h space whi ch i s smal l enough t o
car r y Wi ener measur e t he funct i onal i s di scont i nuous al most sur el y;
2. i t i s pr obabi l i st i c and r el i es on I t o cal cul us and i t s ext ensi on t o semi mar t i n-
gal es.
I n par t i cul ar, t he l ack of pat hwi se deni t i on cr eat es pr obl ems of i nt er pr et a-
t i on, and a pr i or i t he nul l set of pr obl em pat hs may depend on t he equat i ons
maki ng t he const r uct i on of ows di fcul t . Ther e seemed t o be l i t t l e scope t o
ext end t he t heor y beyond t he semi mar t i ngal e set t i ng.
I n [3] one of t he aut hor s set s out a det er mi ni st i c appr oach t o t he i nt er pr e-
t at i on and sol ut i on of equat i ons such as (1.1) i n t he case wher e X
t
i s a r ough
pat h. The mai n concl usi on of t hat paper was t hat t her e wer e r el at i vel y si m-
pl e met r i cs on t he space of smoot h pat hs for whi ch (1.1) denes a uni for ml y
cont i nuous funct i on and for whi ch t he compl et i on can be descr i bed concr et el y.
Loosel y, t he smoot hness of a pat h i s measur ed i n t er ms of p-var i at i on, and for
ever y p 1 t he I t o funct i onal i s cont i nuous. For p > 2 t he compl et i on cont ai ns
i n i t s suppor t Wi ener measur e. The essent i al di ffer ence fr om ear l i er wor k i s
t hat t he appr oach becomes i ncr easi ngl y nonl i near wi t h i ncr easi ng p and i s
al r eady nonl i near when p = 2. The compl et i on compr i ses enhanced pat hs.
For 3 > p 2 t he nonl i near i t y i s quadr at i c. The I t oSt r at onovi ch equat i on i s
a cont i nuous funct i on of a Br owni an pat h and i t s L evy ar ea t aken as a pai r.
I n t hi s paper, we show t hat Br owni an mot i on on t he Si er pi nski gasket i s
a second nont r i vi al st ochast i c model t o t t he appr oach i nt r oduced i n [3] so
t hat t her e i s al ways a nat ur al sol ut i on t o (1.1). Our appr oach i s t o const r uct
a L evy ar ea for t hi s pr ocess and t o est abl i sh t he appr opr i at e H ol der bounds,
aft er whi ch i t t s t he hypot heses of [3]. To us i t i s an i nt er est i ng exampl e; i t
i s deni t el y t oo r ough t o be a semi mar t i ngal e and so cl assi cal appr oaches ar e
not avai l abl e, but st i l l t he det er mi ni st i c appr oach yi el ds a r esul t . I t i s al so
pr ovocat i ve, as t her e ar e a number of var i at i ons on t he t heme of di ffusi ons on
fr act al s, and si mpl y l ooki ng at ar ea wi l l not sufce t o deal wi t h al l of t hem.
(We do not expl or e t hi s quest i on fur t her i n t he cur r ent paper.)
1.2. Why L evy ar ea. The t echni cal aspect s of t hi s paper ar e devot ed en-
t i r el y t owar d const r uct i ng and anal yzi ng L evy ar ea for Br owni an mot i on on
t he Si er pi nski gasket . However, i n t hi s sect i on we expl ai n br i ey, but r eason-
134 B. M. HAMBLY AND T. J. LYONS
abl y pr eci sel y, a si mpl e speci al case of t he t heor em i n [3] so t he r eader can
under st and how t he par t s t t oget her.
Definition 1.1. Let X
t
be a smoot h pat h, and consi der t he chor dal ar ea
pr ocess
A
st
(X) =
1
2
_ _
s<u
1
<u
2
<t
dX
i
u
1
dX
j
u
2
dX
j
u
1
dX
i
u
2
s t |0 L|
The pat h X
t
i s sai d t o have ni tep-var i ati on i f for ever y |s t| |0 L| one has
(s t) := sup
={st
i
<t
i1
t}
_
i

X
t
i1
X
t
i

_
i

A
t
i
t
i1

p/2
<
I t i s sai d t o be r egul ar i f i s cont i nuous and zer o on t he di agonal .
Definition 1.2. The pat h has r egul ar p-var i ati on contr ol l ed by (s t) i f
i s cont i nuous, i s zer o on t he di agonal and sat i ses (s u) (u t) (s t) for
u |s t| and i f
<
The deni t i on above gi ves a way t o t al k about pat hs bei ng cl ose.
Definition 1.3. A sequence of smoot h pat hs X
(n)
t
i s -Cauchy i f al l t he
pat hs ar e cont r ol l ed by , and i f for each > 0 t her e i s an N such t hat , for
al l m n > N,
> sup
={st
i
<t
i1
t}
_
_
i

_
X
(n)
t
i1
X
(n)
t
i
_

_
X
(m)
t
i1
X
(m)
t
i
_

_
i

A
(n)
t
i
t
i1
A
(m)
t
i
t
i1

p/2
_
Theorem 1.4. I f 3 > p 2, the sequence X
(n)
t
i s -cauchy, and i f the vector
el ds ar e Li pschi tz of smoothness > p, then the sequence of sol uti ons Y
(n)
to
the equati ons dr i ven by X
(n)
i s al so C-Cauchy for some constant C > 1.
The appr oach i s gr aded and for smoot her vect or el ds can handl e r ougher
pat hs. The ful l r esul t shows t hat t he sol ut i on can be dened as a uni for ml y
cont i nuous funct i on i n a p-var i at i on nor m i nvol vi ng the r st |p| i ter ated i n-
tegr al s of X. The cl assi cal I t oSt r at onovi ch equat i on can be r ecover ed by
appl yi ng t hi s funct i onal t o t he Br owni an pat h t oget her wi t h i t s L evy ar ea.
Consi der t he pol ygonal appr oxi mat i ons used by L evy and Ci esel ski i n t hei r
const r uct i on of Br owni an mot i on [2], t he nt h of whi ch agr ees wi t h t he pat h at
t he t i mes k/2
n
and i nt er pol at es l i near l y i n bet ween. Wi t h pr obabi l i t y 1, t hi s
sequence of pol ygonal pat hs conver ges i n t he p-var i at i on met r i c t o Br owni an
mot i on, and mor eover [5] t he ar ea pr ocesses associ at ed wi t h t he pol ygonal
pat hs conver ge t o t he L evy ar ea i n t he appr opr i at e t opol ogy.
STOCHASTI C AREA FOR A FRACTAL 135
Ther efor e we have conver gence of t he sol ut i ons t o (1.1) obt ai ned when t hese
pol ygonal pat hs successi vel y t ake t he r ol e of t he dr i vi ng t er m X
t
(and by t he
r esul t s of [6] and [7] we can i dent i fy t hi s nat ur al ext ensi on of (1.1) wi t h t he
St r at onovi ch sol ut i on).
Thi s paper est abl i shes a r esul t equi val ent t o t hat of L evy for Br owni an
mot i on, and consequent l y t s i nt o t he fr amewor k i n t he same si mpl e way.
1.3. Concl usi on. Thi s appr oach t o deni ng and sol vi ng St r at onovi ch di f-
fer ent i al equat i ons does not go vi a t he convent i onal semi mar t i ngal e appr oach
[4]and offer s hope t hat one coul d st udy ot her cl asses of Mar kov pr ocesses
i n si mi l ar ways. Br owni an mot i on on t he Si er pi nski gasket seems an appr o-
pr i at e si mpl e exampl e t o st udy. I t i s r ougher t han cl assi cal Br owni an mot i on
but st i l l has var i at i on l ess t han 3. I t has nat ur al pol ygonal appr oxi mat i ons,
obt ai ned by consi der i ng i t s t r ace on t he nat ur al gr aph appr oxi mat i ons t o t he
gasket . One coul d consi der a di ffer ent i al equat i on dr i ven by t hese successi ve
pol ygonal appr oxi mat i ons and ask i f t he sol ut i ons conver ged as t he l evel of
t he appr oxi mat i on i ncr eases. To pr ove t hi s i t sufces t o show t hat , wi t h pr oba-
bi l i t y 1, t he pol ygonal appr oxi mat i ons and t hei r ar ea pr ocesses bot h conver ge
i n t he appr opr i at e p-var i at i on met r i c.
Thi s paper est abl i shes t hat t hi s i s t he case. Wi t h pr obabi l i t y 1 we const r uct
a nat ur al ar ea pr ocess associ at ed wi t h Br owni an mot i on on t he Si er pi nski
gasket and show t hat i t and t he under l yi ng pat h have ni t e p-var i at i on. Hence
we show t hat , al most sur el y, t he pai r sat i sfy t he hypot heses for sol vi ng (1.1);
t he equat i on has meani ng and a uni que sol ut i on. I n addi t i on we st udy t he t ai l
behavi or of t hi s new L evy ar ea.
The const r uct i on does i nvol ve a semi mar t i ngal ebut wi th r espect to the
-el d associ ated wi th r eveal i ng the l evel n tr ace of the path, not t he l t r at i on
whi ch obser ves t hepat h up t ot i met. Thear gument i s a mi xt ur eof cancel l at i on
and car eful accumul at i on of t er ms t o avoi d i nt er fer ence.
2. Pr el i mi nar i es f or t he Si er pi nsk i gask et . The Si er pi nski gasket i s
a fr act al subset of R
2
for med as t he xed poi nt of a set of cont r act i on maps.
Let a
1
= (0 0), a
2
= (1 0), a
3
= (
1
2

3/2). We wr i t e G
0
for {a
1
a
2
a
3
}, t he
set of t hr ee ver t i ces, and A
0
for t he cl osed convex t r i angl e wi t h ver t i ces G
0
.
Let
i
: i = 1 2 3 be t he cont r act i on gi ven by
i
(x) =
1
2
(x a
i
). For any set
A R
2
we set
(A) =
3

i=1

i
(A)
and

n
(A) = (
n1
(A))
I ni t i al l y l et G
n
=
n
(G
0
) and A
n
=
n
(A
0
). The Si er pi nski gasket G i s t he
xed poi nt of t he sequence of mappi ngs (G) = G.
136 B. M. HAMBLY AND T. J. LYONS
By i nver t i ng t he cont r act i on
1
t he fr act al can be ext ended t o i nni t y. We
now set G
(n)
=
n
1
(G
n
) and for m
G
()
=

n=0
G
(n)

We wi l l use G
()
for t he uni on of t hi s set wi t h i t s r eect i on i n t he y-axi s.
We wi l l now modi fy t he deni t i on of G
n
by set t i ng G
n
= 2
n
G
()
, so cr eat i ng
a -i nvar i ant st r uct ur e. Let G

=
_
n
G
n
and t he i nni t e Si er pi nski gasket
G = cl (G

).
Take G
0
t o be t he gr aph wi t h ver t i ces G
(0)
, wher e t wo ver t i ces x y ar e
connect ed by an edge i f [x y[ = 1 and t he l i ne segment j oi ni ng x y i s i n
G. Fur t her dene G
n
= 2
n
G
0
t o be t he n-l evel gr aph. I n t hi s way G
n
i s an
i nni t e gr aph i n whi ch connect ed ver t i ces on l evel n ar e 2
n
apar t and each
ver t ex has four nei ghbor s. Ever y edge i n G
n
i s t he edge of a uni que t r i angl e of
edge l engt h 2
n
whose i nt er i or cont ai ns el ement s of G
n1
. I t al so for ms par t of
t he boundar y of a uni que t r i angul ar component of t he compl i ment of G whi ch
we wi l l r efer t o as t he compl i ment ar y t r i angl e associ at ed wi t h t he edge.
We can or i ent t he edges of t he gr aph G
n
. Dene a funct i on
xy
on di r ect ed
edges (x y) t aki ng onl y t he val ues 1, by set t i ng
xy
= 1 i f, t r aver si ng t he
edge (x y) fr om x t o y, one nds t he nei ghbor i ng compl i ment ar y t r i angl e on
t he l eft , and
xy
= 1 i f i t i s on t he r i ght .
Lemma 2.1. I f theedges of thegr aph G
n
ar eassi gned thi s or i entati on, then
the sum of the or i entati ons on each edge at any ver tex wi l l be 0.
Proof. By obser vi ng t he r eect i on symmet r y i n t he y-axi s t he sum must
be zer o at t he or i gi n. Usi ng onl y r ot at i ons and t r ansl at i ons, any ver t ex and i t s
t wo nei ghbor i ng t r i angl es i n t he st r uct ur e can be mapped t o t he or i gi n and
i t s nei ghbor i ng t r i angl es. Thi s does not change any or i ent at i on, or t he sum,
and hence t he sum must be zer o at any ver t ex.
I n [1], Bar l ow and Per ki ns const r uct ed a cont i nuous st r ong Mar kov pr ocess
X
t
on G, and due t o i t s uni queness wi t h r espect t o l ocal i somet r i es i t i s now
cal l ed t he Br owni an mot i on on G. We wi l l need t o consi der t he pat h of t hi s
pr ocess st ar t ed fr om an ar bi t r ar y poi nt x and use a pol ygonal appr oxi mat i on
for med as t he t r ace of t he pat h on G
n
. I n or der t o do t hi s we dene t he
fol l owi ng sequence of st oppi ng t i mes:
T
n
0
= i nf {t 0: X
t
G
n
}
T
n
i
= i nf
_
t > T
n
i1
: X
t
G
n
{X
T
n
i1
}
_
i > 0
The posi t i ons of t he pr ocess at each of t he st oppi ng t i mes ar e wr i t t en x
n
i
=
X
T
n
i
, and t hi s al l ows us t o dene a l t r at i on as t he t r ace of t he pat h on G
n
,

n
= (x
n
i
: i 0)
STOCHASTI C AREA FOR A FRACTAL 137
The pat h of t he r andom wal k appr oxi mat i on t o t he pr ocess on G
n
i s cont ai ned
i n t hi s l t r at i on. We may ext end t he t r ace t o a cont i nuous pat h usi ng l i near
i nt er pol at i on,
x
n
s
= (i 1 s)x
n
i
(s i)x
n
i1
i < s < i 1 0 i
Cl ear l y [x
n
i
X
(t)
[ < 2
n
for some appr opr i at e pi ecewi se smoot h r epar ame-
t er i zat i on of t i me.
Remark 2.2. The t r ace of t he pat h can be const r uct ed i n a var i et y of appar-
ent l y di ffer ent ways. For exampl e, one mi ght consi der t he sequence of t i mes
cor r espondi ng t o l ast exi t s:

T
n
0
= sup{t T: X
t
G
n
}

T
n
i
= sup{t <

T
n
i1
: X
t
G
n
{X

T
n
i1
}} i > 0;
t hen x
n
Ii
= X

T
n
i
, wher e I = #{i:

T
n
i
> }.
The pat hs x
n1
and x
n
agr ee at t he ver t i ces i n t he pat h x
n
. I n t he l t r at i on

n
t he pol ygonal pat h x
n1
consi st s of a sequence of i ndependent copi es of
a r escal ed pat h on a basi c domai n (see Fi gur e 1), for each edge t r aver sed
by x
n
.
As t he pat hs ar e nest ed we l et
n nr
i
be t he i ndex for t he l evel n r pat h
cor r espondi ng t o i on t he l evel n pat h,
x
n
i
= x
nr

n nr
i
i = 1
Then
n nr
i

n nr
i1
ar e i ndependent and i dent i cal l y di st r i but ed r andom var i -
abl es and
n n1
i

n n1
i1
has t he di st r i but i on of t he number of st eps Z a si m-
pl e r andom wal k t akes t o exi t t he domai n when st ar t ed at p (see Fi gur e 1).
A
B
D
C
p
Fig. 1. The basi c domai n .
138 B. M. HAMBLY AND T. J. LYONS
Theorem 2.3 [1]. The r andom var i abl e Z has pr obabi l i ty gener ati ng func-
ti on
f(u) := Eu
Z
=
u
2
4 3u

and, for a xed m, {Z

n
; n 0} = {
m mn
i

m mn
i1
; n 0} i s a Gal ton
Watson pr ocess wi th offspr i ng di str i buti on gi ven by Z.
Thus t he number of st eps i n t he l evel n pat h can be r egar ded as a su-
per cr i t i cal Gal t onWat son pr ocess. Thi s br anchi ng pr ocess has an associ at ed
mar t i ngal e.
Theorem 2.4 [1]. Z
m
5
m
i s a mar ti ngal eand Z
m
5
m
W a.s. and i n L
2
.
The r andom var i abl e W r epr esent s t he t i me t aken by t he l i mi t i ng cont i nu-
ous Br owni an pat h t o t r aver se t he uni t t r i angl e.
Lemma 2.5. The moments EW
k
< for al l k > 0.
Proof. We know Z has an exponent i al t ai l ; pr eci sel y t he expl i ci t
for m of t he gener at i ng funct i on for t he Gal t onWat son pr ocess shows
t hat Eexp(Z) < for < l n(
4
3
). Fr om t he funct i onal equat i on for () =
E(exp(W)),
(5) = f(())
i t i s easy t o see t hat W al so has an exponent i al t ai l . Hence we have t he
exi st ence of al l t he moment s.
3. Const r uct i ng a st ochast i c ar ea. Suppose x
t
, t |0 L|, i s a pi ecewi se
smoot h pat h i n R
2
. Then, as i n Deni t i on 1.1, t he t wo-par amet er pr ocess
A
st
(x) =
1
2
_ _
s<u
1
<u
2
<t
dx
1
u
1
dx
2
u
2
dx
2
u
1
dx
1
u
2
s t |0 L|
i s cal l ed t he ar ea pr ocess associ at ed wi t h x. Consi der t he cl osed di r ect ed cur ve
dened by x
u
, u |s t|, and t he chor d

x
t
x
s
. The ar ea i t encl oses i s pr eci sel y
A
st
(x) pr ovi di ng or i ent at i on and mul t i pl i ci t y ar e t aken i nt o account .
Not e t hat A(x) i s dependent on t he geomet r y of t he pat h x and not on t he
speed of passage, so t hat i f (t) i s a cont i nuous t i me change,
A
s t
(x ) = A
(s) (t)
(x)
Let X
t
, t < , be Br owni an mot i on on G. Recal l t hat {x
n
i
: i 0} i s t he
t r ace of X
t
on G
n
and t hat we may pr oduce a pi ecewi se l i near funct i on by
i nt er pol at i on. Fr om [1] i t i s known t hat , wi t h pr obabi l i t y 1, x
n
|5
n
t|
X
t
l ocal l y
uni for ml y, and so one appr oach t o deni ng A
st
(X) woul d be t o pr ove t hat
STOCHASTI C AREA FOR A FRACTAL 139
A
5
n
s 5
n
t
(x
n
) conver ges. However, const r uct i ng A
st
(x) di r ect l y i s a l i t t l e awk-
war d because t he coupl i ng of x
n
x
n1
i s far bet t er under st ood on a cer t ai n
r andom t i me i nt er val .
Recal l t hat x
n
i
i s a si mpl e r andom wal k on G
n
and t hat
n nm
i
embeds x
n
i
as t he G
n
t r ace of x
nm
i
. Our i ni t i al i nt ent i on i s t o pr ove t hat
l i m
m
A

n nm
i

n nm
j
(x
m
)
exi st s i n a wel l -behaved way. I n ot her wor ds we comput e t he ar ea of X
t
bet ween t he it h and jt h vi si t t o t he set G
n
By doi ng t hi s si mul t aneousl y for
al l i, j and n we ar e qui t e cl ose t o const r uct i ng A
st
(X) for al l s t. I f we pr ove
t hat t he pat hs (x
n
A(x
n
)) conver ge i n p-var i at i on nor m, t hen we wi l l have
successful l y const r uct ed A
st
for al l s t.
Now x at t ent i on on t he pat h X
t
dur i ng i t s r st passage fr om one si t e i n G
0
t o anot her. We have t he successi ve appr oxi mat i ons x
n
u
, wher e
0 n
0
< u <
0 n
1
.
Let A
n
= A

0 n
0

0 n
1
(x
n
u
). We st udy t he conver gence of A
n
; r escal i ng wi l l gi ve us
t he behavi or of t he ar eas on ot her i nt er val s.
Now A
0
= 0 so A
n
=

n
j=1
A
j
A
j1
. I gnor i ng t he speci al shape of G
n
for
t he moment , one has t he schemat i c pi ct ur e shown i n Fi gur e 2.
At each st age t he di ffer ence bet ween t he ar eas of t he t wo pol ygons can be
expr essed as a sum:
A
n1
A
n
=
Z
n
1
_
i=0
A

n n1
i

n n1
i1
(x
n1
)
wher e Z
n
i s t he number of i nt er val s bet ween poi nt s of t he t r ace x
n
(and 1
l ess t han t he number of poi nt s). Each of t he t er ms i n t he r i ght -hand si de
r epr esent s t he ar ea of one of t he shaded r egi ons i n t he gur e.
Recal l t hat
xy
i s an ant i cl ockwi se or i ent at i on for t he gr aph G
n
.
Lemma 3.1. The r andom var i abl es

i n
:=
x
n
i
x
n
i1
2
2n
A

n n1
i

n n1
i1
(x
n1
)
ar e i ndependent over i and i denti cal l y di str i buted for al l i n.
x
x
x
x
n
i
n
i-1
n+1
n
Fig. 2. The i ncr ease i n ar ea due to the addi ti on of r escal ed paths.
140 B. M. HAMBLY AND T. J. LYONS
Proof. The poi nt s x
n
i
x
n
i1
ar e adj acent poi nt s i n G
n
; x t he connect ed
component of x
n
i
i n G
n1
(G
n
{x
n
i
}). Up t o a r ot at i on by a mul t i pl e of 60

one has t he si t uat i on of Fi gur e 1 wher e x

n
i1
i s one of t he four ver t i ces i n
G
n
l abel l ed A, B, C or D i n Fi gur e 1. We have al r eady r emar ked t hat t he
r andom var i abl es Z(i 1) =
n n1
i1

n n1
i
ar e i ndependent and i dent i cal l y
di st r i but ed gi ven
n
for X
0
G
0
. Al so t hat x
n1
j
,
n n1
i
< j <
n n1
i1
, gi ven

n
, i s a si mpl e r andom wal k {y
j
: j 0} on condi t i oned t o l eave at x
n
i1
,
and i ndependent of t he pr ocess i nt er pol at i ng {x
n
k
x
n
k1
}, k ,= i.
Fr om t hese obser vat i ons we j ust need t o det er mi ne t he ar ea associ at ed wi t h
t he wal k y. Now t he r ot at i on of does not change A
0Z
(y) and r escal i ng
by 2
n
, t o be of uni t edge si ze, does not affect t he pr ocess at al l , but i nvol ves a
scal i ng of t he ar ea by 2
2n
.
Thus
x
n
i
x
n
i1
2
2n
A

n
i

n
i1
(x
n1
) ar e cl ear l y i ndependent gi ven
n
and have one
of at most four appar ent l y di st i nct di st r i but i ons accor di ng t o whet her x
n
i1
i s
A, B, C or D aft er t he r ot at i on.
The pat h st ar t i ng fr om p makes a number of l oops back t o p, each one
cont ai ned i n one of t he t r i angl es, fol l owed by a si ngl e t er mi nal excur si on. The
ar ea gener at ed by t hi s pat h i s t he sum of cont r i but i ons fr om each l oop and
fr om t he nal excur si on. I f we r egar d as a pai r of r i gi d t r i angl es hi nged
at p, t hen we can r ot at e each t r i angl e t hr ough 30

so as t o achi eve a g-
ur e wi t h hor i zont al and ver t i cal r eect i on symmet r y. As each l oop i s whol l y
cont ai ned wi t hi n a si ngl e t r i angl e, t hi s t r ansfor mat i on l eaves t he ar ea pr ocess
unchanged. Expl oi t i ng t hi s symmet r y i t i s cl ear t hat i f A
x
i s t he l aw of t he ar ea
(on t he uni t fr act al ) gi ven t he pr ocess {y
j
: j 0} qui t s at x {A B C D},
t hen A
A
= A
D
i n di st r i but i on, and si mi l ar l y t hat A
B
= A
C
, A
A
= A
B
,
A
C
= A
D

Now
x
n
i
A
=
x
n
i
C
= 1 and
x
n
i
B
=
x
n
i
D
= 1; t he r esul t fol l ows.
Our i dea for const r uct i ng A

i s t o pr ove t hat A
n
i s a semi mar t i ngal e wi t h
r espect t o
n
and, by cont r ol l i ng t he mean and var i ance of t he i ncr ement s
A
n1
A
n
, t o est abl i sh t hat t he semi mar t i ngal e i s conver gent .
Theorem 3.2. The ar ea l i mA
n
= A exi sts; the conver gence i s i n ever y L
p

Proof. Consi der t he DoobMeyer decomposi t i on of t he semi mar t i ngal e A

n
:
l i m
n
A
n
=

_
0
_
A
n1
A
n
E
_
A
n1
A
n
[
n
__

_
0
E(A
n1
A
n
[
n
) (3.1)
For t he mar t i ngal e par t we ar e abl e t o char act er i ze t he appr opr i at e br acket
pr ocess pr eci sel y i n t er ms of t he Gal t onWat son pr ocess. Wr i t i ng
i
for
x
i
x
i1
and
i
for
i n
so t hat
i

i
2
2n
= A

n n1
i

n n1
i1
(x
n1
), r ecal l t hat
A
n1
A
n
=
Z
n
1
_
j=0

j
2
2n

STOCHASTI C AREA FOR A FRACTAL 141

Hence
E
_
A
n1
A
n
[
n
_
=
Z
n
1
_
j=0

j
E
j
2
2n

and we can wr i t e t he br acket pr ocess as

_
n=0
|A
n1
A
n
E(A
n1
A
n
[
n
)|
2
=

_
n=0
_
Z
n
1
_
j=0

j
(
j
E(
j
))
_
2
2
2n

Obser vi ng t hat
j
= 1 and wr i t i ng Y
j
=
j
E(
j
), we have t hat
N
k
=
k1
_
j=0

j
Y
j
i s a di scr et e st ochast i c i nt egr al . We can wr i t e, usi ng t he Bur khol der and t r i -
angl e i nequal i t i es, t hat , for p > 2,
_
_
_
_

_
m
_
A
n1
A
n
E
_
A
n1
A
n
[
n
_
_
_
_
_
_
p
c
p
_
_
_
_
_

_
m
16
i
N
2
Z
i
_
1/2
_
_
_
_
p
c
p
_

_
m
16
i
[N
Z
i
[
2
p
_
1/2

Cont r ol l i ng N by i t s br acket we have, by t he i nequal i t y of Bur khol der,

[N
Z
i
[
2
p
c
p
[|N|
Z
i
[
p/2
c
p
_
E
_
Z
i
1
_
j=0
Y
2
j
_
p/2
_
2/p
c
p
5
i
_
_
_
_
W

1
Z
i
Z
i
1
_
j=0
Y
2
j
_
_
_
_
p/2
for al l i m, wher e W

= sup
n
Z
n
5
n
i s t he maxi mal r andom var i abl e. Fi nal l y,
by t he L
p
-ver si on of t he st r ong l aw of l ar ge number s and t he L
p
-maxi mum
i nequal i t y,
_
_
_
_

_
m
_
A
n1
A
n
E
_
A
n1
A
n
[
n
_
_
_
_
_
_
p
C
p
|E(W
p/2
)|
1/p
_

_
m
(2
4
5)
n
_
1/2

For t he bounded var i at i on par t , as Z

n
/5
n
i s a conver gent mar t i ngal e wi t h
a nonzer o l i mi t W t her e i s an appar ent danger t hat t he second t er m i n
(3.1) mi ght di ver ge. However, i f we l ook at t he sequence S
j
=

j
0

i
, t hen
S
j
i s a si mpl e r andom wal k (however, be caut i ous, t hi s i s not t r ue i f, e.g.,
one condi t i ons by
1
). Thus i t can be cont r ol l ed, [S
j
[ Kj
1/2
(j), wher e
(j) =
_
l og l og(j 2) and K i s a posi t i ve r andom var i abl e wi t h an exponen-
t i al t ai l i ndependent of j.
142 B. M. HAMBLY AND T. J. LYONS
Usi ng t hi s t he bounded var i at i on par t can be cont r ol l ed by

_
m
_
E(A
n1
A
n
) [
n
_

E()

_
m
4
n
K
n
_
Z
n
(Z
n
) (3.2)
wher e t he K
n
ar e di st r i but ed l i ke K but need not be i ndependent . Si nce Z
n

5
n
W

and i s sl owl y var yi ng, t he r i ght -hand si de of (3.2) conver ges st r ongl y
and i s of or der
_
5
16
_
m/2

(W

)
wher e

K =

n
4
n
K
n
5
n/2
_
l og n.
As al l moment s of W ar e ni t e by Lemma 2.5 i t fol l ows easi l y t hat our ar ea
pr ocess conver ges, and i n fact t her e ar e r at her st r ong cont r ol s.
We cl ose t hi s sect i on wi t h a l emma concer ni ng t he behavi or of t he ar ea i n
a basi c domai n .
Lemma 3.3. The Lapl ace tr ansfor m L() = Eexp(A
1
) of the ar ea A
1
gener ated by the r andom wal k on G
1
i s gi ven by
L() = 2
e

3/8
(4e
3

3/16
3e

3/8
8e

3/16
15)
e

3/4
6e
3

3/16
74e

3/8
6e

3/16
1

Proof. The ar ea A
1
i s gener at ed by a r andom wal k on G
1
. The ar ea i ncr e-
ment at each st ep i s a mul t i pl e of

3/16, t he ar ea of a t r i angl e i n G
1
. By t he
symmet r y of t he four boundar y poi nt s we need onl y consi der t he exi t pr ocess
fr om any one of t hem. We can der i ve a set of equat i ons by condi t i oni ng on t he
r st st ep of t he r andom wal k on G
1
. Let L
a
() = E(exp(A
1
)[X
0
= a) and
wr i t e N(a) for t he ver t i ces of G
1
whi ch ar e nei ghbor s of a i n t he gr aph. Then
L
a
() =
_
bN(a)
p
ab
L
b
() exp(A
01
) a
For t he r st l evel gasket we obt ai n seven equat i ons i n seven unknowns whi ch
we sol ve t o gi ve t he r esul t .
We can wr i t e

L() for t he Lapl ace t r ansfor m of
1
=
1
4A
1
. Thi s i s equi v-
al ent t o t he symmet r i zed ver si on of t he t r ansfor m whi ch can be wr i t t en as

L() =
8cosh(

3/4)
3
3cosh(

3/4)
2
2cosh(

3/4) 6
cosh(

3/4)
2
3cosh(

3/4) 19

for [
/
[
0
= 41587 The for m of t he Lapl ace t r ansfor m shows t hat t he
scal ed and symmet r i zed ar ea r andom var i abl e
1
has an exponent i al t ai l .
STOCHASTI C AREA FOR A FRACTAL 143
4. Ar ea bet ween an ar bi t r ar y pai r of t i mes and ni t e p-var i at i on.
Consi der a pat h of our under l yi ng cont i nuous pr ocess {X
t
: t |0 T|}. We
wi sh t o est abl i sh t he exi st ence of a r eal -val ued pr ocess A
s t
, whi ch we wi l l
cal l t he ar ea pr ocess, and show t hat
A
s u
= A
s t
A
t u
Ar ea
_

X
s
X
t
X
u
_
(4.1)
wher e Ar ea(

X
s
X
t
X
u
) =
1
2
|X
t
X
s
X
u
X
t
| i s t he ar ea of t he or i ent ed
t r i angl e dened by t he t hr ee poi nt s i n t he pat h, and t hat (X
t
A
s t
) has ni t e
p-var i at i on. That i s t o say i f = {s t
i
< t
i1
t} i s a par t i t i on
of |s t|, t hen
sup

_
i
[X
t
i1
X
t
i
[
p

_
i
[A
t
i
t
i1
[
p/2
<
The p-var i at i on of a pat h over an i nt er val i s i ndependent of t he par ame-
t er i zat i on of t he pat h wi t hi n t he i nt er val and so we can be exi bl e about t he
nami ng of our i nt er val s. I f x
n
t
ar e t he coupl ed r andom wal ks we dened pr e-
vi ousl y, l i near l y i nt er pol at ed so as t o be pi ecewi se l i near pat hs pr ogr essi ng at
speed 5
n
al ong t he gr aph G
n
, t he funct i ons
n nm
i
i dent i fy t he cor r espondi ng
t i mes at t he di ffer ent l evel s so t hat
x
n
i
= x
nm

n nm
i
and t he l i mi t i ng pat h X
t
= l i mx
n
5
n
t
. The connect i on bet ween t he t i me of t he
it h move on t he pi ecewi se l i near pat h at l evel n and t he t i me scal e of t he
l i mi t i ng pat h X
t
i s gi ven by
t
i n
= l i m
m
5
nm

n nm
i

The par t i t i ons (t
i n
)

i=0
ar e successi ve r enement s of t he i nt er val |0 T| and
gr ow i n t ot al number l i ke 5
n
T. We wi l l be concer ned wi t h t he maxi mum num-
ber of t i me i nt er val s {t
j nm
j = 1 2 }, i nt o whi ch an i nt er val t
i n
spl i t s.
An easy Bor el Cant el l i ar gument shows t hat t her e i s a r andom const ant C
such t hat for al l n one has max
i

n n1
i
< nC; of cour se t he mean number

n n1
i
i s 5
We have al r eady est abl i shed t he exi st ence of an ar ea pr ocess A
t
i n
t
i1 n
de-
ned separ at el y for each n and sat i sfyi ng t he al gebr ai c r el at i onshi p (4.1) t o
X
t
of an ar ea pr ocess at t he t i mes t hat t he pr ocess i s dened.
We can now dene A
s t
for any i nt er val J = |s t| i n |0 t
1 0
|. Par t i t i on t he
i nt er val i nt o di sj oi nt i nt er val s of t he t ype |t
i n
t
i1 n
| as fol l ows: var y i n
and i ncl ude i n t he par t i t i on exact l y t hose i nt er val s of t he t ype |t
i n
t
i1 n
|
whi ch ar e cont ai ned i n J and whi ch ar e maxi mal wi t h r espect t o i ncl usi on.
An i nt er val i s sai d t o be maxi mal i f i t i s not cont ai ned i n any ot her i nt er val
|t
j m
t
j1 m
| J Label t he i nt er val s J
r n
i n t he par t i t i on sequent i al l y ac-
cor di ng t o t hei r l evel . For si mpl i ci t y l et (t
k
)
k=
k=
denot e t he par t i t i on of |s t|
dened by t he endpoi nt s of t he i nt er val s.
We can now make a r i gor ous deni t i on of t he ar ea pr ocess for al l t i mes, and
est abl i sh p-var i at i on est i mat es. Let z(u) be t he pi ecewi se l i near funct i on on
144 B. M. HAMBLY AND T. J. LYONS
|s t| t hat agr ees wi t h X at t he t i mes t
k
. Then t he al gebr ai c pr oper t y of t he
ar ea pr ocess for ces t he r el at i on
A
t
k
t
l
=
j=l1
_
j=k
A
t
j
t
j1

1
2
_
t
k
<u
1
<u
2
<t
l
|dz(u
1
) dz(u
2
)|
=
j=l1
_
j=k
A
t
j
t
j1

1
2
_
kj
1
<j
2
<l
_
X
t
j
1
1
X
t
j
1
X
t
j
2
1
X
t
j
2
_

and pr ovi di ng we ar e abl e t o t ake t he l i mi t s t hen cont i nui t y for ces us t o t he

concl usi on t hat
A
s t
=
j=
_
j=
A
t
j
t
j1

1
2
_
<j
1
<j
2
<
_
X
t
j
1
1
X
t
j
1
X
t
j
2
1
X
t
j
2
_
(4.2)
wher e i n gener al i t woul d be unr easonabl e t o expect t he sums i n t he r i ght -
hand expr essi on t o be wel l dened. However, i n our case, t he ser i es wi l l be
absol ut el y conver gent because t he t i me i nt er val s ar e car eful l y chosen. Obser ve
t hat

_
X
t
j
1
1
X
t
j
1
X
t
j
2
1
X
t
j
2
_

X
t
j
1
1
X
t
j
1

X
t
j
2
1
X
t
j
2

and hence
1
2
_
<j
1
<j
2
<
_
X
t
j
1
1
X
t
j
1
X
t
j
2
1
X
t
j
2
_

1
2
_
_
<j<

X
t
j1
X
t
j

_
2

We have

A
s t

p/2
2
p/21
_
j=
_
j=

A
t
j
t
j1

_
p/2

1
2
_
j=
_
j=

X
t
j1
X
t
j

_
p

For {e
i
: i 0}, e
i
R

, we have a r ever se H ol der i nequal i t y:

_

_
i=1
i
/(q1)
_
(q1)
_
i=1
i

(e
i
)
q

_

_
i=1
e
i
_
q

Now gr oupi ng our i nt er val s accor di ng t o t he l evel and appl yi ng t he r ever se

H ol der i nequal i t y wi t h q = p/2 and e
n
=

r
[A
J
r n
[,

r
[X
J
r n
[ we have t hat ,
pr ovi di ng p > 2 and > p 1,
[A
J
[
p/2
2
p/21
_

_
n=1
n
/(p/21)
_
(p/21)
_
n=1
n

_
_
r

A
J
r n

_
p/2

1
2
_

_
n=1
n
/(p1)
_
(p1)
_
n=1
n

_
_
r
[X
J
r n
[
_
p

As we have not ed t he sum

r
[X
J
r n
[ i s over at most nC t er ms, so
_
_
r
[X
J
r n
[
_
p
c
1
_
r
[X
J
r n
[
p
n
p1

STOCHASTI C AREA FOR A FRACTAL 145

si mi l ar l y for

r
[A
J
r n
[, and hence
[A
J
[
p/2
c( p C)

_
n=1
_
r
n

n
p/21

A
J
r n

p/2
c( p C)

_
n=1
_
r
n

n
p1

X
J
r n

Our est i mat e for [A

J
[
p/2
i s a sum over t er ms associ at ed wi t h basi c i nt er val s
cont ai ned i n J. We woul d l i ke t o est i mat e

J
[A
J
[
p/2
, wher e J r anges over
t he i nt er val s i n some ar bi t r ar y par t i t i on of |0 t
1 0
|. We can obvi ousl y do t hi s
by summi ng over al l t he basi c i nt er val s:
_
J
[A
J
[
p/2
c( p C)

_
n=1
n

n
p1
_
i
_

A
t
i n
t
i1 n

p/2

X
t
i n
t
i1 n

p
_

wher e t he r i ght -hand si de i s i ndependent of t he par t i t i on. The r i ght -hand

si de i s easi l y seen t o be ni t e al most sur el y, c( p C) < al most sur el y,
as we ment i oned ear l i er, and t he sum has ni t e expect at i on gi ven t hat p >
l og 5/ l og 2, as
E
_

_
n=1
n

n
p1
_
i
_

A
t
i n
t
i1 n

p/2

X
t
i n
t
i1 n

p
_
_
< E
_
([A
0 t
1 0
[
p/2

X
0 t
1 0

p
)
_

_
n=1
n

n
p1
5
n
2
np

We have si mul t aneousl y pr oved t he exi st ence and ni t e p-var i at i on of t he

pat h (X A). I t i s cl ear t hat i t sat i ses t he al gebr ai c r el at i on of a mul t i pl i cat i ve
funct i onal si nce i t must do so at ever y basi c t i me pai r and t hey ar e dense on
t he l i ne. We have compl et ed t he pr oof of t he fol l owi ng t heor em.
Theorem 4.1. The pai r (X
t
A
s t
) of the Br owni an moti on and i ts ar ea
pr ocess have ni te p-var i ati on for al l p > l og 5/ l og 2.
An obvi ous modi cat i on of t hi s ar gument shows t hat t he pol ygonal pat hs
at l evel n and t hei r ar eas conver ge i n p-var i at i on t o t he l i mi t i ng pat h (i f gi ven
t he consi st ent t i me scal es).
We concl ude wi t h est i mat es on t he t ai l of t he ar ea bet ween successi ve vi si t s
t o di ffer ent poi nt s on G
()
and for al l t i mes.
Theorem 4.2. For the ar ea A
0 t
1 0
ther e exi st constants c a such that
P(A
0 t
1 0
> ) c exp(a)
Proof. Fr om t he r esul t s i n Sect i on 3 we can est i mat e t he ar ea A
0 t
1 0
by
A
0 t
1 0
=

_
n=0
Z
n
1
_
i=0

i
2
2n

146 B. M. HAMBLY AND T. J. LYONS

Thus
P(A
0 t
1 0
> ) = P
_

_
n=0
Z
n
1
_
i=0

i
2
2n
>
_
= P
_

_
n=0
Z
n
1
_
i=0

i
2
2n
>

_
n=0
b
n

wher e

n
b
n
= 1 wi l l be chosen l at er. Now
P(A
0 t
1 0
> ) P
_
Z
n
1
_
i=0

i
2
2n
> b
n
for at l east one n
_

_
n=0
P
_
Z
n
_
i=1

i
2
2n
> b
n

We can cal cul at e t he Lapl ace t r ansfor m of t he sum by composi t i on of gener-

at i ng funct i ons. Let
S
n
() = Eexp
_

Z
n
1
_
i=0

i
_

Then i t i s easy t o see t hat

S
n
() = f
n
(

L())
wher e f
n
i s t he n-fol d composi t i on of f, t he gener at i ng funct i on for t he Gal t on
Wat son pr ocess. As

L() i s symmet r i c we have t hat by Tayl or s t heor em, for
<
1
= {:

L() =
4
3
}
0
,
P
_
Z
n
1
_
i=0

i
2
2n
> b
n

_
exp(4
n
b
n
)S
n
()
exp(4
n
b
n
)f
n
(1 c
0

2
)
exp(4
n
b
n
)(1 c
1
5
n

2
)
Thus for an > 0, by choosi ng = 5
n/2
and b
n
= (1

5/4 )(

5/4 )
n
,
we have
P(A
0 t
1 0
> )

_
n=0
P
_
Z
n
1
_
i=0

i
2
2n
> b
n

_
n
(1 c
1
) exp((1

5/4 )
n
)
wher e = 1 (4/

5) > 1. As t he sum i s ni t e we obt ai n t he r equi r ed

exponent i al t ai l .
For t he ar ea bet ween t wo ar bi t r ar y t i mes we can appl y t he same ar gu-
ment usi ng t he r epr esent at i on gi ven as (4.2) and pr ove t hat t he t ai l of t he
di st r i but i on for
_
A
s t
i s no wor se t han exponent i al .
STOCHASTI C AREA FOR A FRACTAL 147
Consi der t he sum gr ouped accor di ng t o t he i nt er val s
A
s t
=
j=
_
j=
A
t
j
t
j1

1
2
_
<j
1
<j
2
<
_
X
t
j
1
1
X
t
j
1
X
t
j
2
1
X
t
j
2
_

_
n=0
_
r
A
J
r n

1
2
_

_
n=0
_
r
[X
J
r n
[
_
2

Now we consi der t he t wo pi eces separ at el y. Fi r st , t he sum of t he ar eas can be

cont r ol l ed by t he est i mat e obt ai ned i n Theor em 4.2 usi ng t he same t echni que
of pr oof,
P
_

_
n=0
_
r
A
J
r n
>
_

_
n=0
P
_
_
r
A
J
r n
> b
n

We can est i mat e t he number of t er ms at each l evel . Let M

n
= max
i

n n1
i
.
Then as t he t er ms on l evel n i n t he par t i t i on can occur at bot h ends of t he
t i me i nt er val we have
_
r
A
J
r n

2M
n
1
_
i=0
[
i
[2
2n

We know t hat bot h M

n
and [
i
[ have exponent i al t ai l s and t hus i t i s easy t o
show t he sum has t he i ndi cat ed t ai l behavi or.
For t he second sum, whi ch i nvol ves t he squar e of t he pat h i ncr ement s, we
have
P
__

_
n=0
_
r
[X
J
r n
[
_
2
>
_
= P
_

_
n=0
_
r
[X
J
r n
[ >

As t he i ncr ement s ar e xed by our choi ce of pat h di ssect i on, we have

P
_

_
n=0
_
r
[X
J
r n
[ >

_
P
_

_
n=0
2M
n
2
n
>

The r andom var i abl es M

n
each have an exponent i al t ai l , as wi l l t hei r wei ght ed
sum and hence we have t he fol l owi ng r esul t .
Theorem 4.3. For thear ea A
s t
for s t |0 t
1 0
| ther eexi st constants c
1
a
1
such that
P(A
s t
> ) c
1
exp
_
a
1

REFERENCES
[1] Barlow, M. T. and Perkins, E. A. (1988). Br owni an mot i on on t he Si er pi nski gasket . Pr obab.
Theor y Rel ated Fi el ds 79 543624.
[2] L evy, P. (1948). Pr ocessus Stochasti ques et Mouvement Br owni en. Gaut hi er-Vi l l ar s, Par i s.
[3] Lyons, T. J. (1995). Di ffer ent i al equat i ons dr i ven by r ough si gnal s. Rev. Mat. I ber oamer i cana.
To appear.
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[4] Protter, P. (1977). On t he exi st ence, uni queness, conver gence and expl osi ons of sol ut i ons of
syst ems of st ochast i c di ffer ent i al equat i ons. Ann. Pr obab. 5 243261.
[5] Sipil ainen, E.-M. (1993). A pat hwi se vi ew of sol ut i ons of st ochast i c di ffer ent i al equat i ons
Ph.D. di sser t at i on, Uni v. Edi nbur gh.
[6] Wong, E. and Zakai, M. (1965). On t he r el at i onshi p bet ween or di nar y and st ochast i c di ffer-
ent i al equat i ons. I nter nat. J. Engr g. Sci . 3 213229.
[7] Wong, E. and Zakai, M. (1965). On t he conver gence of or di nar y i nt egr al s t o st ochast i c i nt e-
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Department of Mathematics and Statistics
University of Edinburgh
The Kings Buildings, Mayfield Road
Edinburgh, EH9 3JZ
United Kingdom
E-mail: bmh@mat hs.ed.ac.uk
Department of Mathematics
Imperial College
180 Queens Gate
London, SW7 2BZ
United Kingdom