Brownian Motion Indexed by a Time Scale
| Autor: | David E. Grow, Suman Sanyal |
|---|---|
| Rok vydání: | 2011 |
| Předmět: |
Statistics and Probability
Pure mathematics Geometric Brownian motion Fractional Brownian motion Applied Mathematics Brownian excursion Heavy traffic approximation Combinatorics Diffusion process Reflected Brownian motion Statistics Probability and Uncertainty Martingale representation theorem Reflection principle (Wiener process) Mathematics |
| Zdroj: | Stochastic Analysis and Applications. 29:457-472 |
| ISSN: | 1532-9356 0736-2994 |
| DOI: | 10.1080/07362994.2011.564441 |
| Popis: | In this article, we generalize Wiener's existence result for one-dimensional Brownian motion by constructing a suitable continuous stochastic process where the index set is a time scale. We construct a countable dense subset of a time scale and use it to prove a generalized version of the Kolmogorov–Centsov theorem. As a corollary, we obtain a local Holder-continuity result for the sample paths of generalized Brownian motion indexed by a time scale. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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