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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:
Let , , be a -dimensional Brownian motion and let be a continuous function. We show that if is locally of zero quadratic variation, then for all . This result extends recent work of F. B. Knight, thereby confirming a conjecture of T.Salisbury.
References:
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- [2]
- P. J. Fitzsimmons, Drift transformations of symmetric diffusions and duality, Preprint, 1997.
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- T. S. Salisbury, An increasing diffusion, Seminar on Stochastic Processes, 1984 (E. Çinlar, K. L. Chung, R. K. Getoor, eds.), Birkhäuser, Boston, 1986, pp. 173-194. MR 88k:60138
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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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