The quadratic variation of Brownian motion on a time scale

DOI10.1016/J.SPL.2012.05.008zbMATH Open1251.60061OpenAlexW1992465544MaRDI QIDQ452879FDOQ452879

Authors Suman Sanyal, David Grow

Publication date 18 September 2012

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2012.05.008

zbMATH Keywords

Brownian motionquadratic variationtime scalesstochastic dynamic equations

Mathematics Subject Classification ID

Brownian motion (60J65) Real analysis on time scales or measure chains (26E70) Foundations of stochastic processes (60G05)

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Cites work

• scientific article; zbMATH DE number 1614153 (Why is no real title available?)
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• Brownian motion on disconnected sets, basic hypergeometric functions, and some continued fractions of Ramanujan
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Cited in

(10)

• Square mean almost automorphic solution of stochastic evolution equations with impulses on time scales
• Memoryless properties on time scales
• Linear feedback of mean-field stochastic linear quadratic optimal control problems on time scales
• Itô's formula, the stochastic exponential, and change of measure on general time scales
• Stability of stochastic dynamic equations with time-varying delay on time scales
• scientific article; zbMATH DE number 936411 (Why is no real title available?)
• Dynamic programming and Hamilton-Jacobi-Bellman equations on time scales
• Stochastic linear quadratic control problem on time scales
• Brownian motion with quadratic killing and some implications
• Brownian motion indexed by a time scale

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