Quadratic variation of a càdlàg semimartingale as a.s. limit of the normalized truncated variations

DOI10.1080/17442508.2019.1568437zbMath1492.60117arXiv1708.00732OpenAlexW2963055144MaRDI QIDQ5086439

Rafał Marcin Łochowski

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1708.00732

zbMATH Keywords

quadratic variationtruncated variationcàdlàg semimartingalesFöllmer's pathwise integral

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic integrals (60H05)

Related Items

Itô-Föllmer calculus in Banach spaces. I: The Itô formula ⋮ Local times and Tanaka-Meyer formulae for càdlàg paths

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