Quadratic variation along refining partitions: constructions and examples

DOI10.1016/J.JMAA.2022.126173MaRDI QIDQ2122196zbMATH OpenOpenAlexFDO

Authors Rama Cont, Purba Das

Publication date 6 April 2022

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2109.12635

zbMATH Keywords

Brownian motionquadratic roughnessquadratic variationrefining partitionsSchauder system

Mathematics Subject Classification ID

Functions of bounded variation, generalizations (26A45) Sample path properties (60G17)

Abstract: We present several constructions of paths and processes with finite quadratic variation along a refining sequence of partitions, extending previous constructions to the non-uniform case. We study in particular the dependence of quadratic variation with respect to the sequence of partitions for these constructions. We identify a class of paths whose quadratic variation along a partition sequence is invariant under {it coarsening}. This class is shown to include typical sample paths of Brownian motion, but also paths which are $frac12$-H"older continuous. Finally, we show how to extend these constructions to higher dimensions.

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Cited in

(10)

• On pathwise quadratic variation for càdlàg functions
• Quadratic variation and quadratic roughness
• On almost sure convergence of the quadratic variation of Brownian motion.
• Itô-Föllmer calculus in Banach spaces. I: The Itô formula
• Detecting subtle deviations in Brownian motion representations driven by a Schauder basis
• On isomorphism of the space of continuous functions with finite p-th variation along a partition sequence
• Kolmogorov-Smirnov estimation of self-similarity in long-range dependent fractional processes
• The roughness exponent and its model-free estimation
• Hölder regularity and roughness: construction and examples
• Designing universal causal deep learning models: the case of infinite-dimensional dynamical systems from stochastic analysis

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