2021•arXiv (Cornell University)Open access

Functions with quadratic variation along refining partitions

Rama Cont, Purba Das

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Abstract

We present several constructions of paths and processes with finite quadratic variation along a refining sequence of partitions, extending previous constructions to the non-uniform case. We study in particular the dependence of quadratic variation with respect to the sequence of partitions for these constructions. We identify a class of paths whose quadratic variation along a partition sequence is invariant under {\it coarsening}. This class is shown to include typical sample paths of Brownian motion, but also paths which are $\frac{1}{2}$-H\older continuous. Finally, we show how to extend these constructions to higher dimensions.

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We present several constructions of paths and processes with finite quadratic variation along a refining sequence of partitions, extending previous constructions to the non-uniform case. We study in particular the dependence of quadratic variation with respect to the sequence of partitions for these constructions. We identify a class of paths whose quadratic variation along a partition sequence is invariant under {\it coarsening}. This class is shown to include typical sample paths of Brownian motion, but also paths which are $\frac{1}{2}$-H\older continuous. Finally, we show how to extend these constructions to higher dimensions.

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Available abstract

We present several constructions of paths and processes with finite quadratic variation along a refining sequence of partitions, extending previous constructions to the non-uniform case. We study in particular the dependence of quadratic variation with respect to the sequence of partitions for these constructions. We identify a class of paths whose quadratic variation along a partition sequence is invariant under {\it coarsening}. This class is shown to include typical sample paths of Brownian motion, but also paths which are $\frac{1}{2}$-H\older continuous. Finally, we show how to extend these constructions to higher dimensions.

Key concepts: Quadratic variation, Quadratic equation, Mathematics, Sequence (biology), Invariant (physics), Partition (number theory), Refining (metallurgy), Brownian motion

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