A limit theorem for the sum of squared differences of an integrated Ito process with application to inverse scattering

Autor:	Fletcher, John F. A.
Rok vydání:	2012
Předmět:	Mathematics - Probability Physics - Optics
Druh dokumentu:	Working Paper
Popis:	We investigate a functional obtained by summing the squared differences of the integral of an Ito process over disjoint intervals. The limit of this sum is shown to converge in probability to two thirds the quadratic variation of the underlying process. An application to inverse scattering from a random fractal surface is presented. Comment: This paper has been withdrawn by the author due to the discovery of an error in the first paragraph on p.4 (which has a serious effect on the subsequent argument). The statement beginning "Clearly..." is not in fact true in general (clearly)
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1211.6413 Zobrazit plný text záznamu View this record from Arxiv