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Applications of the Ito Formula

  • K. L. Chung
  • R. J. Williams
Part of the Progress in Probability and Statistics book series (PRPR, volume 4)

Abstract

Theorem 6.1. A process M is a Brownian motion in ℝ if and only if it is a continuous local martingale with quadratic variation [M] such that
$$ {\left[ M \right]_t} = ta.s.forallt. $$
(6.1)

Keywords

Brownian Motion Recursive Formula Quadratic Variation Schrodinger Equation Local Martingale 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 1983

Authors and Affiliations

  • K. L. Chung
    • 1
  • R. J. Williams
    • 1
  1. 1.Department of MathematicsStanford UniversityStanfordUSA

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