The Quadratic Variation of Brownian Motion on a Time Scale.

Author

David E. Grow, Missouri University of Science and TechnologyFollow
Suman Sanyal

Editor(s)

Koul, H. L. (Hira L.) and Xiao, Y.

Abstract

The quadratic variation of a Brownian motion indexed by a nonempty closed subset of the reals, i.e. a time scale, is investigated and examples are given for various time scales to illustrate the result.

Recommended Citation

D. E. Grow and S. Sanyal, "The Quadratic Variation of Brownian Motion on a Time Scale.," Statistics and Probability Letters, Elsevier, Jan 2012.

The definitive version is available at https://doi.org/10.1016/j.spl.2012.05.008

Department(s)

Mathematics and Statistics

Keywords and Phrases

Brownian Motion; Time Scales; Quadratic Variation; Stochastic Dynamic Equations

International Standard Serial Number (ISSN)

0167-7152

Document Type

Article - Journal

Document Version

Citation

File Type

text

Language(s)

English

Rights

© 2012 Elsevier, All rights reserved.

Publication Date

01 Jan 2012