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    Variation of iterated Brownian motion 

    Burdzy, Krzysztof (American Mathematical Society, 1994)
    In this paper, we study higher order variations of iterated Brownian motion (IBM) with view towards possible applications to the construction of the stochastic integral with respect to IBM. We prove that the 4-th variation of IBM is a deterministic linear function. This clearly means that the quadratic variation is infinite ...

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    Author
    Burdzy, Krzysztof (1)
    Subject
    iterated Brownian motion (1)
    ... View MoreDate Issued
    1994 (1)

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