S
Sandor Kelemen
Member
I asked the following around 5 months ago and I did not get any satisfactory answer. Can anybody help me out now?
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!
Thx in advance!
S.
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!
Thx in advance!
S.