I'm spending hours trying to develop and prove the mean-square-limit.
Does anyone know where I could find an exhaustive and detailed proof online?
I would really appreciate!
Here is the concept:
Assume the finite time t is sliced into n identical partitions.
Define tj as the time up to the end of the j-th partition.
The mean-square-limit sais that
where X's are brownian motions and E is the expectation.
Limit is zero because (developing and resolving) E=O(1/n)