On pathwise quadratic variation for càdlàg functions

We revisit Föllmer’s concept of quadratic variation of a càdlàg function along a sequence of time partitions and discuss its relation with the Skorokhod topology. We show that in order to obtain a robust notion of pathwise quadratic variation applicable to sample paths of càdlàg processes, one must...

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Bibliographic Details
Main Authors: Chiu, H, Cont, R
Format: Journal article
Published: Institute of Mathematical Statistics 2018