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Examples of Finite Quadratic Variation Processes

  • Faculté des Sciences et Technologies
  • Nancy Université

Research output: Chapter in Book/Report/Conference proceedingChapterpeer-review

Abstract

This chapter focuses on the class of finite quadratic variation processes and provides several examples. Among them one can find the Föllmer-Wu-Yor and many Gaussian processes. We also calculate the α-variation of the fractional Brownian motion and we investigate Gaussian Volterra processes and processes with a covariance measure structure.

Original languageEnglish
Title of host publicationBocconi and Springer Series
PublisherSpringer-Verlag Italia s.r.l.
Pages259-307
Number of pages49
DOIs
Publication statusPublished - 1 Jan 2022

Publication series

NameBocconi and Springer Series
Volume11
ISSN (Print)2039-1471
ISSN (Electronic)2039-148X

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