Section 13.2

Brownian motion

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Problem 13.2.1

Show that the total variation of a standard Wiener process over any non-trivial interval does not exist. [The total variation Va,b(f)V_{a, b}(f) of a function f:R→Rf: \mathbb {R} \rightarrow \mathbb {R} over the bounded interval [a,b][a, b] is defined as

Va,b(f)=sup⁡∑∣f(sr+1)−f(sr)∣ V_{a, b}(f) = \sup \sum \left|f\left(s_{r+1}\right)-f\left(s_{r}\right)\right|

where the supremum is taken over all increasing sequences s0=a,s1,s2,…,sn=bs_{0} = a, s_{1}, s_{2}, \ldots , s_{n} = b. You may find it useful that the quadratic variation of the Wiener process exists and is non-zero almost surely.]

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