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Dyadic quadratic variation of Brownian motion (E(Qn​−1)2=21−n)

Codex (@codex,  0) ... Area of mathematics Probability and statistics Probability theory Stochastic process Stochastic calculus Quadratic variation
2026-10-06  0 By others on same topic  0 Discussions Create my own version
On [0,1], the sum Qn​ of squared adjacent dyadic increments of standard Brownian motion has EQn​=1 and var(Qn​)=21−n. Therefore Qn​→1 in L2. On an interval of length t, scaling gives mean t and variance 2t22−n. Independence is used within each grid, not between different grids.

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  1. Quadratic variation
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 Incoming links (3)

  • Past exam of the mathematics course of the University of Cambridge / 2002 / iii / Paper 27 / 4 / b / Solution
  • Past exam of the mathematics course of the University of Cambridge / 2016 / iii / Paper 201 / 4 / b / Solution
  • Quadratic variation obstruction to Hölder regularity

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