The Quadratic Variation of Brownian Motion on a Time Scale.
Koul, H. L. (Hira L.) and Xiao, Y.
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.
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
Mathematics and Statistics
Keywords and Phrases
Brownian Motion; Time Scales; Quadratic Variation; Stochastic Dynamic Equations
International Standard Serial Number (ISSN)
Article - Journal
© 2012 Elsevier, All rights reserved.