quadratic variation of Brownian motion
Theorem.
Let be a standard Brownian motion. Then, its quadratic variation exists and is given by
As Brownian motion is a martingale and, in particular, is a semimartingale then its quadratic variation must exist (http://planetmath.org/QuadraticVariationOfASemimartingale). We just need to compute its value along a sequence of partitions
.
If is a partition (http://planetmath.org/SubintervalPartition) of the interval , then the quadratic variation on is
Using the property that the increments are independent normal random variables with mean zero and variance
, the mean and variance of are
Here, is the mesh of the partition.If is a sequence of partitions of with mesh going to zero as then,
as . This shows that in the norm and, in particular, converges in probability. So, .