I am studying Dirichlet processes at the moment (processes that can be written as a sum of a martingale and a process with zero quadratic variation). I am looking for an example of a Dirichlet process that is not a semimartingale, i.e. a function that has quadratic variation zero, but is not of bounded variation.
Any reading suggestions concerning Dirichlet processes is appreciated very muchly!
Regards,
Luke