The quadratic variation of Brownian motion on a time scale
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.
Year of publication: |
2012
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Authors: | Grow, David ; Sanyal, Suman |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 82.2012, 9, p. 1677-1680
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Publisher: |
Elsevier |
Subject: | Brownian motion | Time scales | Quadratic variation | Stochastic dynamic equations |
Saved in:
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