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

DOI10.1016/J.SPA.2010.10.005zbMath1235.60112arXiv0912.4533OpenAlexW2164905656MaRDI QIDQ550141

Rafał Marcin Łochowski

Publication date: 8 July 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.4533

zbMATH Keywords

Laplace transformBrownian motionmoment generating function

Mathematics Subject Classification ID

Gaussian processes (60G15) Brownian motion (60J65)

Related Items (3)

On the double Laplace transform of the truncated variation of a Brownian motion with drift ⋮ The play operator, the truncated variation and the generalisation of the Jordan decomposition ⋮ Integrability and concentration of the truncated variation for the sample paths of fractional Brownian motions, diffusions and Lévy processes

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• Exact asymptotic estimates of Brownian path variation
• Sample functions of the Gaussian process
• On Truncated Variation of Brownian Motion with Drift

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