Expected Regularized Total Variation of Brownian Motion

arXiv1511.03633MaRDI QIDQ6267331FDOQ6267331

Alexander Dunlap

Publication date: 11 November 2015

Abstract: We introduce a notion of regularized total variation on an interval for continuous functions with unbounded variation. The definition of regularized total variation is obtained from that of total variation by subtracting a penalty for the size of the partition used to estimate the variation. We present an explicit construction of a partition achieving the regularized total variation, and use this construction to estimate the expected regularized total variation of Brownian motion on an interval.

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