Quadratic variation of functionals of two-parameter Wiener process

Nasrollah Etemadi and Albert T. Wang

Journal of Multivariate Analysis, 1976, vol. 6, issue 4, 630-643

Abstract: The quadratic variation of functionals of the two-parameter Wiener process of the form f(W(s, t)) is investigated, where W(s, t) is the standard two-parameter Wiener process and f is a function on the reals. The existence of the quadratic variation is obtained under the condition that f' is locally absolutely continuous and fN is locally square integrable.

Keywords: Two-parameter; Wiener; process; Quadratic; variation (search for similar items in EconPapers)
Date: 1976
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