Integrated square of Brownian motion 2026-10-06
The quadratic functional is finite almost surely. The Brownian half-integer sine expansion writes it as a sum of independent scaled squared standard normals. Its mean is , and its Laplace transform is determined by a hyperbolic cosine product.
Past exam of the mathematics course of the University of Cambridge 2014 iii Paper 27 3 b Solution Created 2026-10-03 Updated 2026-10-06
Put . The deterministic derivative is , and , while . The Itô product rule with a deterministic smooth function givesAlmost every Brownian path is continuous, hence belongs to . Its Fourier coefficient in the given orthonormal basis is therefore . The Parseval identity for a Hilbertian basis gives, pathwise on a probability-one event,This is the squared-norm consequence of the Brownian half-integer sine expansion; completeness, rather than pointwise convergence of a Fourier series, is all that is needed.