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dc.contributor.authorBurdzy, Krzysztof
dc.date.accessioned2005-12-09T19:19:11Z
dc.date.available2005-12-09T19:19:11Z
dc.date.issued1994
dc.identifier.citationBurdzy, K. (1994). Variation of iterated Brownian motion. In Measure-valued processes, stochastic partial differential equations, and interacting systems, D.A. Dawson, ed. CRM Proceedings and Lecture Notes, 5. Providence, R.I.: American Mathematical Society, 35-53.en
dc.identifier.urihttp://hdl.handle.net/1773/2252
dc.description.abstractIn 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 (although we do not prove this). We show that, in a weak sense, the "signed quadratic variation" of IBM is distributed like Brownian motion.en
dc.description.sponsorshipSupported in part by NSF grant DMS 91-00244 and AMS Centennial Research Fellowship.en
dc.format.extent213206 bytes
dc.format.mimetypeapplication/pdf
dc.language.isoen_US
dc.publisherAmerican Mathematical Societyen
dc.relation.ispartofseriesCRM Proceedings and Lecture Notes;vol. 5
dc.subjectiterated Brownian motionen
dc.titleVariation of iterated Brownian motionen
dc.typeBook chapteren


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