Quadratic variation of functionals of two-parameter Wiener process |
| |
| Authors: | Nasrollah Etemadi Albert T Wang |
| |
| Institution: | Department of Mathematics, University of Michigan, Ann Arbor, Michigan 48104 USA;Department of Mathematics, The University of Tennessee, Knoxville, Tennessee 37916 USA |
| |
| Abstract: | The quadratic variation of functionals of the two-parameter Wiener process of the form f(W(s, t)) is investigated, where W(s, t) is the standard two-parameter Wiener process and f is a function on the reals. The existence of the quadratic variation is obtained under the condition that f′ is locally absolutely continuous and fN is locally square integrable. |
| |
| Keywords: | Two-parameter Wiener process Quadratic variation |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
