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Lévy theorem - Ch9

S

Sandor Kelemen

Member
Hello everyone,

Can anybody give me a solid reference to the form of Levy theorem used in Chapter 9 to characterize Brownian motions?

This article
http://individual.utoronto.ca/norma.../Levy_characterization_of_Brownian_motion.pdf
is talking about quadratic variations as a central concept.

Comparing the covariation definition mentioned in
https://en.wikipedia.org/wiki/Quadratic_variation
and in the CMP I see some risk that for stochastic processes there are two different definitions (with different, i.e. not equivalent, underlying meaning).

Therefore I think that there is a chance that Levy's theorem is used inappropriately in the CMP.

Hopefully, there will be somebody who could help me out on this. Thanks in advance!
 
Hi
As you've noted, the Core Reading does not give a robust statement of Levy's Theorem. This has been referred back to the IFoA for clarification.
Thanks
 
Can I check if APT is now deleted from the course?
So is Vasicek two factor model?
 
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