Quadratic Variation Process

1983 ◽  
pp. 65-84
Author(s):  
K. L. Chung ◽  
R. J. Williams
Keyword(s):  
Quadratic Variation ◽  
Variation Process

Quadratic Variation Process

2013 ◽  
pp. 75-91
Author(s):  
K. L. Chung ◽  
R. J. Williams
Keyword(s):  
Quadratic Variation ◽  
Variation Process

scholarly journals On the quadratic variation process of a continuous Martingale

1983 ◽  
Vol 27 (2) ◽  
pp. 178-181 ◽  
Author(s):  
Rajeeva L. Karandikar
Keyword(s):  
Quadratic Variation ◽  
Variation Process

scholarly journals A generalized occupation time formula for continuous semimartingales

2010 ◽  
Vol 47 (1) ◽  
pp. 54-58
Author(s):  
Raouf Ghomrasni
Keyword(s):  
Local Time ◽  
Wide Class ◽  
Quadratic Variation ◽  
Occupation Time ◽  
Time Process ◽  
Continuous Semimartingale ◽  
Class Of Functions ◽  
Variation Process

We show that for a wide class of functions F we have lim \documentclass{aastex} \usepackage{amsbsy} \usepackage{amsfonts} \usepackage{amssymb} \usepackage{bm} \usepackage{mathrsfs} \usepackage{pifont} \usepackage{stmaryrd} \usepackage{textcomp} \usepackage{upgreek} \usepackage{portland,xspace} \usepackage{amsmath,amsxtra} \usepackage{bbm} \pagestyle{empty} \DeclareMathSizes{10}{9}{7}{6} \begin{document} $$\mathop {\lim }\limits_{\varepsilon \downarrow 0} \frac{1}{\varepsilon }\int\limits_0^t {\{ F(s,X_s ) - F(s,X_s - \varepsilon )\} d\left\langle {X,X} \right\rangle _s = - } \int\limits_0^t {\int\limits_\mathbb{R} {F(s,x)dL_s^x } }$$ \end{document} where Xt is a continuous semimartingale, ( Ltx , x ∈ ℝ, t ≧ 0) its local time process and (〈 X, X 〉 t , t ≧ 0) its quadratic variation process.

Quadratic Variation Process

1990 ◽  
pp. 75-91
Author(s):  
K. L. Chung ◽  
R. J. Williams
Keyword(s):  
Quadratic Variation ◽  
Variation Process

scholarly journals Quadratic Variation of Functionals of Brownian Motion

1977 ◽  
Vol 5 (5) ◽  
pp. 756-769 ◽  
Author(s):  
Albert T. Wang
Keyword(s):  
Brownian Motion ◽  
Quadratic Variation

Comparison Between the Mean-Variance Optimal and the Mean-Quadratic-Variation Optimal Trading Strategies

2013 ◽  
Vol 20 (5) ◽  
pp. 415-449 ◽  
Author(s):  
S. T. Tse ◽  
P. A. Forsyth ◽  
J. S. Kennedy ◽  
H. Windcliff
Keyword(s):  
Quadratic Variation ◽  
Trading Strategies ◽  
Optimal Trading ◽  
The Mean ◽  
Mean Variance
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