The quadratic variation of Brownian motion on a time scale

DOI10.1016/j.spl.2012.05.008zbMath1251.60061OpenAlexW1992465544MaRDI QIDQ452879

Suman Sanyal, David E. Grow

Publication date: 18 September 2012

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2012.05.008

zbMATH Keywords

Brownian motiontime scalesquadratic variationstochastic dynamic equations

Mathematics Subject Classification ID

Brownian motion (60J65) Foundations of stochastic processes (60G05) Real analysis on time scales or measure chains (26E70)

Related Items (7)

Itô's formula, the stochastic exponential, and change of measure on general time scales ⋮ Stochastic linear quadratic control problem on time scales ⋮ Memoryless properties on time scales ⋮ Dynamic programming and Hamilton-Jacobi-Bellman equations on time scales ⋮ Square mean almost automorphic solution of stochastic evolution equations with impulses on time scales ⋮ Stability of stochastic dynamic equations with time-varying delay on time scales ⋮ Linear feedback of mean-field stochastic linear quadratic optimal control problems on time scales

Cites Work

• Unnamed Item
• Sample functions of the Gaussian process
• Brownian Motion Indexed by a Time Scale
• Brownian motion on disconnected sets, basic hypergeometric functions, and some continued fractions of Ramanujan

This page was built for publication: The quadratic variation of Brownian motion on a time scale