5. Stochastic integrals
We have seen that Brownian motion is infinitely variable, so we cannot define a Stieltjes integral associated with it. However, we shall see that it is possible to define an integral of another kind, defined in a quadratic sense.
5.1 Quadratic variation
Let X be a real-valued process. The following process is called the "approximate quadratic variation" of X at level n:
Exclusive to subscribers. 97% yet to be discovered!
Already subscribed? Log in!
Stochastic integrals
Stochastic differential equations
References
Exclusive to subscribers. 97% yet to be discovered!
Already subscribed? Log in!
Article included in this offer
"Mathematics"
(
168 articles
)
Updated and enriched with articles validated by our scientific committees
A set of exclusive tools to complement the resources
