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

DOI10.4064/BC90-0-4zbMATH Open1210.60091OpenAlexW2323951959MaRDI QIDQ3083386FDOQ3083386

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

Recommendations

• 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
• Integrability and concentration of the truncated variation for the sample paths of fractional Brownian motions, diffusions and Lévy processes
• On truncated variation, upward truncated variation and downward truncated variation for diffusions
• On the number of deviations of geometric Brownian motion with drift from its extreme points with applications to transaction costs

zbMATH Keywords

Brownian motionvariation

Mathematics Subject Classification ID

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

Cited In (3)

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

This page was built for publication: Truncated variation, upward truncated variation and downward truncated variation of Brownian motion with drift -- their mean value and their applications

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3083386)