Brownian space-time functions of zero quadratic variation depend only on time

Authors
Citation
Pj. Fitzsimmons, Brownian space-time functions of zero quadratic variation depend only on time, P AM MATH S, 127(8), 1999, pp. 2423-2429
Citations number
10
Categorie Soggetti
Mathematics
Journal title
PROCEEDINGS OF THE AMERICAN MATHEMATICAL SOCIETY
ISSN journal
00029939 → ACNP
Volume
127
Issue
8
Year of publication
1999
Pages
2423 - 2429
Database
ISI
SICI code
0002-9939(199908)127:8<2423:BSFOZQ>2.0.ZU;2-U
Abstract
Let B-t, t greater than or equal to 0, be a 1-dimensional Brownian motion a nd let f : R X [0, infinity[ --> R be a continuous function. We show that i f t bar right arrow f(B-t, t) is locally of zero quadratic variation, then f(x, t) = f(0, t) for all (x, t) is an element of R X [0, infinity[. This r esult extends recent work of F. B. Knight, thereby confirming a conjecture of T. Salisbury.