Quadratic variation and quadratic roughness

We study the concept of quadratic variation of a continuous path along a sequence of partitions and its dependence with respect to the choice of the partition sequence. We define the concept of quadratic roughness of a path along a partition sequence and show that, for H\"older-continuous paths...

Deskribapen osoa

Xehetasun bibliografikoak
Egile Nagusiak: Cont, R, Das, P
Formatua: Journal article
Hizkuntza:English
Argitaratua: Bernoulli Society for Mathematical Statistics and Probability 2022