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单词 QuadraticVariationOfBrownianMotion
释义

quadratic variation of Brownian motion


Theorem.

Let (Wt)tR+ be a standard Brownian motionMathworldPlanetmath. Then, its quadratic variation exists and is given by

[W]t=t.

As Brownian motion is a martingaleMathworldPlanetmath 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 partitionsMathworldPlanetmath.

If P={0=t0t1tm=t} is a partition (http://planetmath.org/SubintervalPartition) of the intervalMathworldPlanetmath [0,t], then the quadratic variation on P is

[W]P=k=1m(Wtk-Wtk-1)2.

Using the property that the increments Wtk-Wtk-1 are independentPlanetmathPlanetmath normal random variables with mean zero and varianceMathworldPlanetmath tk-tk-1, the mean and variance of [W]P are

𝔼[[W]P]=k=1m𝔼[(Wtk-Wtk-1)2]=k=1m(tk-tk-1)=t,
Var[[W]P]=k=1mVar[(Wtk-Wtk-1)2]=k=1m2(tk-tk-1)2
2|P|k=1m(tk-tk-1)=2|P|t.

Here, |P|=maxk(tk-tk-1) is the mesh of the partition.If (Pn)n=1,2, is a sequence of partitions of [0,t] with mesh going to zero as n then,

𝔼[([W]Pn-t)2]2|Pn|t0

as n. This shows that [W]Pnt in the L2 norm and, in particular, converges in probability. So, [W]t=t.

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更新时间:2025/5/4 9:04:31