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Variation

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Definition
MeasureTheoryStochasticDiffs

Let f:R+Rf:\mathbb{R}^{+}\to \mathbb{R}, and π=(t0,,tN)\pi=(t_{0},\dots,t_{N}). We define the variation of ff on the subdivision π\pi, V(f,π)V(f,\pi), as V(f,π)=i=0N1f(ti+1)f(ti)V(f,\pi)=\sum_{i=0}^{N-1}|f(t_{i+1})-f(t_{i})|or the variation of ff over [a,b][a,b] as V(f[a,b])=supπΠ([a,b])V(f,π)V(\left.f\right|_{[a,b]})=\sup_{\pi\in\Pi([a,b])}V(f,\pi)

Let 0a<b0\le a<b, and let f:R+Rf:\mathbb{R}^{+}\to \mathbb{R}, ff is said to have bounded on [a,b][a,b] if supπΠ([a,b])V(f,π)<\sup_{\pi\in\Pi([a,b])}V(f,\pi)<\inftywhere Π([a,b])={(t0,,tN)RN+1:NN and a=t0<t1<<tN=b}\Pi([a,b])=\{ (t_{0},\dots,t_{N})\in\mathbb{R}^{N+1}:N\in\mathbb{N}^{*}\text{ and }a=t_{0}<t_{1}<\dots<t_{N}=b \}for π=(t0,,tN)\pi=(t_{0},\dots,t_{N}).

Let f:R+Rf:\mathbb{R}^{+}\to \mathbb{R}. ff is said to have finite variation if f[0,t]\left.f\right|_{[0,t]} is of .

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