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...
| Main Authors: | , |
|---|---|
| Format: | Journal article |
| Published: |
Institute of Mathematical Statistics
2018
|