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Brownian paths have infinite total variation

Statement

Assume the Axiom of Choice. Let B be a standard Brownian motion Brownian motion. Almost surely, on every nondegenerate compact interval [a,b]⊆[0,∞) the variation sums of the path are unbounded above: sup⁡P∑i<n∣Bti+1−Bti∣=+∞ over all partitions P=(n,t) of [a,b] in the sense of Bounded variation and total variation on an interval. Equivalently, almost surely the path is not of bounded variation on any nondegenerate compact interval.

Facts & Assumptions

Given: AC, a standard Brownian motion B, and nonnegative rationals a<b.

[F1]

For disjoint time intervals the increments of B are independent with laws N(0,h) for interval length h. Brownian motion

[F2]

N(0,h) is the law of h Z for Z∼N(0,1), and Z has the strictly positive density φ(x)=e−x2/2/2π with ∫Rφ=1. Standard normal and normal laws The standard normal density has total mass one

[F3]

Improper integrals of nonnegative measurable functions are the limits of their integrals over [0,R], and substitution by u=x2/2 computes ∫0Rxe−x2/2 dx=1−e−R2/2. Monotone convergence for the integral Substitution: if φ is differentiable on [c,d] with φ′ integrable and f is continuous on an interval containing φ([c,d]), then ∫φ(c)φ(d)f=∫cd(f∘φ) φ′. Under Countable Choice, continuous compact-interval integrands have equal Riemann and Lebesgue integrals; expectation is integration against the law, and a density can be moved into the integrand. A bounded Riemann integrable function on a closed bounded interval is Lebesgue measurable and has the same integral Change of variables for expectation Integrating against a density agrees with integrating the product

[F4]

For a real function on [a,b] with a<b, the variation of a partition P is V(f,P)=∑i<n∣f(ti+1)−f(ti)∣, and the sums over all partitions are nonempty; a partition of a subinterval refines to a partition of the larger interval, so the variation sums are monotone under passing to subintervals. Bounded variation and total variation on an interval

[F5]

Chebyshev: P(∣X−EX∣≥λ)≤Var⁡(X)/λ2 for a square-integrable real X and λ>0. Chebyshev's inequality for random variables

[F6]

First Borel-Cantelli: if ∑nP(Gn)<∞ then almost surely only finitely many Gn occur. First Borel-Cantelli lemma for events

[F7]

The rationals are dense and countable; enumerating ordered pairs by diagonals gives a countable list of rational intervals. The rationals embed densely in the reals Q is countably infinite

[F8]

AC is the ambient assumption of the Brownian and normal-law interfaces. The Axiom of Choice

[F9]

For Z∼N(0,1) the even-moment formula gives E∣Z∣2m=(2m−1)!! for m≥1; in particular EZ2=1 (Gaussian even moments for Brownian increments).

[F10]

Products of integrable Borel functions of independent real random variables have factored expectations. For square-integrable real random variables, covariance is bilinear and Cov⁡(X,Y)=E[XY]−EX EY, with Var⁡(X)=EX2−(EX)2 (Expectations factor over finite products of independent random variables, Variance and covariance identities for random variables).

Proof

technique · direct
1.1F2F3F9F10

For Z∼N(0,1) one has E∣Z∣=2/π and Var⁡(∣Z∣)=1−2/π: by [F2] and [F3], E∣Z∣=2∫0∞xφ(x) dx=2(2π)−1/2lim⁡R→∞(1−e−R2/2)=(2/π)1/2, while E∣Z∣2=EZ2=1 by [F9] with m=1, so [F10] gives variance 1−(2/π). The compact substitution integrals in [F3] are transferred to Lebesgue integrals before the nonnegative monotone limit; expectation and density identities in [F3] justify the displayed Gaussian integral.

2.1step 1.1F1F2F10

Fix n≥1, put h=(b−a)/2n and Sn:=∑k=12n∣Ba+kh−Ba+(k−1)h∣; by [F1] and [F2] the 2n increments are independent with the law of h Z, so ESn=2n2h/π=2(b−a)/π⋅2n/2→∞ and Var⁡(Sn)=2nh(1−2/π)=(b−a)(1−2/π) is constant in n. Indeed every absolute increment is square-integrable by step 1.1; [F10] applied to the absolute-value Borel functions on any two distinct increments gives zero covariance, and finite bilinearity gives the variance sum. If a>0, the independent increment list in [F1] is obtained by including 0,a in the time grid and discarding its first increment; for a=0 no extra interval is needed.

3.1step 2.1F5

By [F5] applied to Sn with λ=12ESn, P(Sn≤12ESn)≤4Var⁡(Sn)/(ESn)2=4(b−a)(1−2/π)2(b−a)π2n=2π(1−2/π)2n, which is summable in n.

4.1step 2.1step 3.1F4F6

By [F6] and [step 2.1], almost surely Sn>12ESn for all sufficiently large n, and hence Sn→∞; since each Sn=V(B,Pn) is the variation of the path over the dyadic partition Pn of [a,b], the variation sums over partitions of [a,b] are almost surely unbounded above.

5.1step 1.1step 4.1F7F8

The argument of steps 1.1-4.1 depends on 0≤a<b only through the single number b−a, so it applies verbatim to every ordered pair of nonnegative rationals a<b; by [F7] the pairs form a countable family. For each pair use the measurable event ⋃N⋂n≥N{Sn>12ESn} of probability one from step 4.1; intersecting these explicit events gives a measurable probability-one event on which the variation sums of B are unbounded above on every compact interval in [0,∞) with rational endpoints.

6.1step 5.1F4F7

On that event every nondegenerate compact interval [c,d]⊆[0,∞) has unbounded variation sums as well: choose, by [F7], nonnegative rationals a<b with c<a<b<d, note that the dyadic partitions of [a,b] extend to partitions of [c,d] by adding the points c and d, and that adding points can only increase a variation sum by the triangle inequality, so the sums over partitions of [c,d] dominate the unbounded family for [a,b].

7.1step 6.1F4F8given∎

The boundary cases are covered: the interval is required to be nondegenerate, so a=b and the singleton convention are excluded; 2n≥2 increments are used, so the n-sums are genuine variation sums over partitions in the sense of [F4]; the variance bound is uniform in the mesh index for each fixed interval, while the full-measure intersection in step 5.1 is legitimate by countability, not by an interval-independent variance constant. AC includes the Countable Choice required for the compact Riemann/Lebesgue bridge and is inherited through the Brownian and normal-law interfaces in [F8].

Source notes

The proof uses the published Gaussian even-moment calculation at order two, a compact substitution calculation for the absolute first moment, the general independent-product and covariance interfaces, Chebyshev and first Borel–Cantelli. It requires neither bounded-variation differentiability nor a quadratic-variation theorem.

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