Variation of iterated Brownian motion
| dc.contributor.author | Burdzy, Krzysztof | |
| dc.date.accessioned | 2005-12-09T19:19:11Z | |
| dc.date.available | 2005-12-09T19:19:11Z | |
| dc.date.issued | 1994 | |
| dc.description.abstract | 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 (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.sponsorship | Supported in part by NSF grant DMS 91-00244 and AMS Centennial Research Fellowship. | en |
| dc.format.extent | 213206 bytes | |
| dc.format.mimetype | application/pdf | |
| dc.identifier.citation | Burdzy, 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.uri | http://hdl.handle.net/1773/2252 | |
| dc.language.iso | en_US | |
| dc.publisher | American Mathematical Society | en |
| dc.relation.ispartofseries | CRM Proceedings and Lecture Notes;vol. 5 | |
| dc.subject | iterated Brownian motion | en |
| dc.title | Variation of iterated Brownian motion | en |
| dc.type | Book chapter | en |