This derivation sub-note carries the computation underpinning Theorem 2.8.2 from the main lesson: that the partition sums converge in probability to (and a.s. under the summability condition). The main lesson Quadratic Variation and Non-Differentiable Paths gives the interpretation; here we do the algebra.
In this lesson
- Purpose of this note
- Setup
- Step 1: Mean of
- Step 2: Variance of
- Step 3: Fourth Moment of
- Step 4: and In-Probability Convergence
- Step 5: Almost-Sure Convergence
- Step 6: BM with Drift
Before you start
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