Two-Parameter Stochastic Processes With Finite Variation

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Two-Parameter Stochastic Processes With Finite Variation
Charles Lindsey
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Let R , Re 6, disjoint with R < U R ? e *• Now » R i ^ R p is a ^ s0 a rectangle iff they "match up" on one side (see Figure 3~1). I I I t" R 2 t' R l 1 t s c ' Figure 3~1 Additivity on 5 71 Denote R = (s,s'] x (t,t'] R 2 = (s,s'] x (t',t"l (Figure 3 _ 1). (The proof is the same if R is of the forr (s',s"] x (t,t'].) We have m(R 1 UR 2 ) = f(s"+,t"+) - f(s+,t"+) - f(s'+,t+) + f(s+,t + ) = [f(s'+,t"+) - f(s+,t M +) - f(s'+,t"+) + f(s+,t'+)] + [f(s'+,t'+) - f(s+,t'+) - f(s'+,t+) + f(s+,t+)] (we added and subtracted f(s'+,t'+) and f(s+,t'+)) = m(R ) + m(R ). 3) o has finite variation on 6. We prove this by contradiction; suppose there exists a rectangle J e 6 such that |o|(J) = ♦ ■ (|a| denotes the variation of o). Then, for each a>0, there exists a finite family (J ), h = 1,2, ...n of disjoint rectangles from 6, J C j for all h, such that h n n I |o(J ) | > a, i.e., I |A (f+) | > a. h-1 n h-1 n Denote J = ( (s. ,t. ) ,(s ',t ')] for all h. We may, of course, assume h h h h h n that J = \^J J (so that [^J j c 5).

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