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Proceedings of the American Mathematical Society
ISSN 1088-6826 (e) ISSN 0002-9939 (p)
     

Brownian space-time functions of zero quadratic variation depend only on time

Author(s): P. J. Fitzsimmons
Journal: Proc. Amer. Math. Soc. 127 (1999), 2423-2429.
MSC (1991): Primary 60J65; Secondary 60J55
Posted: March 23, 1999
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Abstract | References | Similar articles | Additional information

Abstract: Let $B_ t$, $t\ge 0$, be a $1$-dimensional Brownian motion and let $f\colon {\mathbb{R}}\times [0,\infty [\,\to {\mathbb{R}}$ be a continuous function. We show that if $t\mapsto f(B_ t,t)$ is locally of zero quadratic variation, then $f(x,t)=f(0,t)$ for all $(x,t)\in {\mathbb{R}}\times [0,\infty [$. This result extends recent work of F. B. Knight, thereby confirming a conjecture of T.Salisbury.


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Additional Information:

P. J. Fitzsimmons
Affiliation: Department of Mathematics, University of California San Diego, 9500 Gilman Drive, La Jolla, California 92093--0112
Email: pfitz@euclid.ucsd.edu

DOI: 10.1090/S0002-9939-99-04794-2
PII: S 0002-9939(99)04794-2
Keywords: Brownian motion, quadratic variation, time reversal, Girsanov transformation
Received by editor(s): September 8, 1997
Received by editor(s) in revised form: October 24, 1997
Posted: March 23, 1999
Communicated by: Stanley Sawyer
Copyright of article: Copyright 1999, American Mathematical Society


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