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 of a function over the bounded interval is defined as
where the supremum is taken over all increasing sequences . You may find it useful that the quadratic variation of the Wiener process exists and is non-zero almost surely.]
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Origin: Stated according to the original source