The Quadratic Variation of Brownian Motion on a Time Scale.
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
