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Brownian motion 1 Quadratic variation 1 Stochastic dynamic equations 1 Time scales 1
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Grow, David 1 Sanyal, Suman 1
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Statistics & Probability Letters 1
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The quadratic variation of Brownian motion on a time scale
Grow, David; Sanyal, Suman - In: Statistics & Probability Letters 82 (2012) 9, pp. 1677-1680
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.
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