On the double Laplace transform of the truncated variation of a Brownian motion with drift
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Publication:2970990
DOI10.1112/S1461157016000127zbMath1380.60075arXiv1106.3199MaRDI QIDQ2970990
Publication date: 4 April 2017
Published in: LMS Journal of Computation and Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1106.3199
Cites Work
- Truncated variation, upward truncated variation and downward truncated variation of Brownian motion with drift -- their characteristics and applications
- A stopped Brownian motion formula
- On truncated variation, upward truncated variation and downward truncated variation for diffusions
- On a generalisation of the Hahn–Jordan decomposition for real càdlàg functions
- The play operator, the truncated variation and the generalisation of the Jordan decomposition