On Truncated Variation of Brownian Motion with Drift

DOI10.4064/BA56-3-9MaRDI QIDQ3603770zbMATH OpenOpenAlexFDO

Authors Rafał M. Łochowski

Publication date 18 February 2009

Published in Bulletin Polish Acad. Sci. Math. (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4064/ba56-3-9

zbMATH Keywords

Brownian motionvariation

Mathematics Subject Classification ID

Gaussian processes (60G15)

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Cited in

(5)

• Drift perturbation of subordinate Brownian motions with Gaussian component
• Truncated variation, upward truncated variation and downward truncated variation of Brownian motion with drift -- their characteristics and applications
• On the double Laplace transform of the truncated variation of a Brownian motion with drift
• On truncated variation, upward truncated variation and downward truncated variation for diffusions
• Truncated variation, upward truncated variation and downward truncated variation of Brownian motion with drift -- their mean value and their applications

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