9 The variation of Brownian paths

In this chapter we start our study of the regularity of the Brownian paths. One possibility to measure the regularity of a function is to look at its oscillations.

On a small interval [tj-1, tj] the oscillation of a continuous function ƒ should roughly be |ƒ(tj) - ƒ (tj-1) |and summing up the oscillation over consecutive intervals should give a number quantifying the oscillatory behaviour of f. In this way we would measure the increase of a monotone function and, for a Lipschitz continuous functions, the oscillations would be bounded by the Lipschitz constant times the interval length. In order to capture Hölder continuity we will introduce a weight on the oscillations.

Recall the definition of p-variation: ...

Get Brownian Motion, 2nd Edition now with O’Reilly online learning.

O’Reilly members experience live online training, plus books, videos, and digital content from 200+ publishers.