Truncated variation, upward truncated variation and downward truncated variation of Brownian motion with drift -- their mean value and their applications

DOI10.4064/BC90-0-4MaRDI QIDQ3083386zbMATHOpenAlexFDO

Authors Rafał M. Łochowski

Publication date 21 March 2011

Published in Banach Center Publications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/bc90-0-4

zbMATH Keywords

Brownian motionvariation

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Gaussian processes (60G15) Brownian motion (60J65)

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(3)

• Truncated variation, upward truncated variation and downward truncated variation of Brownian motion with drift -- their characteristics and applications
• On Truncated Variation of Brownian Motion with Drift
• On truncated variation, upward truncated variation and downward truncated variation for diffusions

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