Quadratic Variation of Functionals of Brownian Motion
Wang, Albert T.
Ann. Probab., Tome 5 (1977) no. 6, p. 756-769 / Harvested from Project Euclid
The quadratic variation of functionals $F(t)$ of $n$-dimensional Brownian motion is investigated. Let $\Pi_n = \{t_1^n, t_2^n, \cdots, t^n_{l(n)}\}$ with $a = t_1^n < t_2^n < \cdots < t^n_{l(n)} = b$ be a family of partitions of the interval $\lbrack a, b\rbrack$. The limiting behavior of $Q^2(F, \Pi_n) = \sum^{l(n)-1}_{k=1} (F(t^n_{k+1}) - F(t_k^n))^2$ as $n \rightarrow \infty$, assuming $\|\Pi_n\| \rightarrow 0$, is studied. And the existence of this limit is obtained for a fairly general class of functionals of Brownian motion.
Publié le : 1977-10-14
Classification:  Quadratic variation,  functionals of Brownian motion,  60J65,  60J55
@article{1176995717,
     author = {Wang, Albert T.},
     title = {Quadratic Variation of Functionals of Brownian Motion},
     journal = {Ann. Probab.},
     volume = {5},
     number = {6},
     year = {1977},
     pages = { 756-769},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176995717}
}
Wang, Albert T. Quadratic Variation of Functionals of Brownian Motion. Ann. Probab., Tome 5 (1977) no. 6, pp.  756-769. http://gdmltest.u-ga.fr/item/1176995717/