The \(p\)-variation and an extension of the class of semimartingales (Q1415506): Difference between revisions
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Property / author: Rimas Norvaiša / rank | |||
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Property / reviewed by: Gheorghe Stoica / rank | |||
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Property / author: Rimas Norvaiša / rank | |||
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Property / reviewed by: Gheorghe Stoica / rank | |||
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Property / full work available at URL: https://doi.org/10.1023/a:1025866323195 / rank | |||
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Latest revision as of 10:11, 30 July 2024
scientific article
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English | The \(p\)-variation and an extension of the class of semimartingales |
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The \(p\)-variation and an extension of the class of semimartingales (English)
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4 December 2003
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Dudley, Norvaiša and Lyons proved that results concerning integral equations cannot be extended to functions with bounded 2-variation, while they are valid for functions of \(p\)-variation for some \(p<2\). The paper discusses the possibility of incorporating such results into the stochastic analysis, more precisely by replacing the bounded variation component of a semimartingale by a stochastic process having almost all sample functions of bounded \(p\)-variation for some \(p<2\).
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\(p\)-variation
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semimartingales
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integration
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