Journal article
Quadratic variation along refining partitions: Constructions and examples
- Abstract:
-
We present several constructions of paths and processes with finite quadratic variation along a refining sequence of partitions, extending previous constructions to the non-uniform case. We study in particular the dependence of quadratic variation with respect to the sequence of partitions for these constructions. We identify a class of paths whose quadratic variation along a partition sequence is invariant under coarsening. This class is shown to include typical sample paths of Brownian motion, but also paths which are 1/2 -Hölder continuous. Finally, we show how to extend these constructions to higher dimensions.
- Publication status:
- Published
- Peer review status:
- Peer reviewed
Actions
Access Document
- Files:
-
-
(Preview, Accepted manuscript, pdf, 530.8KB, Terms of use)
-
- Publisher copy:
- 10.1016/j.jmaa.2022.126173
Authors
- Publisher:
- Elsevier
- Journal:
- Journal of Mathematical Analysis and Applications More from this journal
- Volume:
- 512
- Issue:
- 2
- Article number:
- 126173
- Publication date:
- 2022-03-18
- Acceptance date:
- 2022-03-11
- DOI:
- ISSN:
-
0022-247X
- Language:
-
English
- Keywords:
- Pubs id:
-
1196597
- Local pid:
-
pubs:1196597
- Deposit date:
-
2022-03-11
- ARK identifier:
Terms of use
- Copyright holder:
- Elsevier Inc.
- Copyright date:
- 2022
- Rights statement:
- © 2022 Elsevier Inc. All rights reserved.
- Notes:
-
This is the accepted manuscript version of the article. The final version is available from Elsevier at https://doi.org/10.1016/j.jmaa.2022.126173
If you are the owner of this record, you can report an update to it here: Report update to this record