Title :
The quadratic variation of brownian motion and its properties
Author :
Deng, Hua ; Li, Juncheng ; Liao, Xiaolian
Author_Institution :
Dept. of Math., Hunan Inst. of Humanities, Sci. & Technol., Loudi, China
Abstract :
In order to research the quadratic variation better which widely used in Itô Formula and stochastic integral, the convergence of quadratic variation for classical function and Brownian motion has been proved in turn. By introducing Brownian motion and using its properties the quadratic variation of Brownian motion can be estimated. Based on the above comparisons and analyses, a dramatically different result is obtained.
Keywords :
Brownian motion; stochastic processes; Brownian motion quadratic variation; Ito formula; classical function; stochastic integral; Convergence; Brownian motion; convergence; quadratic variation;
Conference_Titel :
Electrical & Electronics Engineering (EEESYM), 2012 IEEE Symposium on
Conference_Location :
Kuala Lumpur
Print_ISBN :
978-1-4673-2363-5
DOI :
10.1109/EEESym.2012.6258709
