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The quadratic variation of Brownian motion on a time scale

Author

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  • Grow, David
  • Sanyal, Suman

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.

Suggested Citation

  • Grow, David & Sanyal, Suman, 2012. "The quadratic variation of Brownian motion on a time scale," Statistics & Probability Letters, Elsevier, vol. 82(9), pages 1677-1680.
    • Handle: RePEc:eee:stapro:v:82:y:2012:i:9:p:1677-1680
    DOI: 10.1016/j.spl.2012.05.008
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