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单词 QuadraticVariationOfASemimartingale
释义

quadratic variation of a semimartingale


Given any semimartingale X, its quadratic variation [X] exists and, for any two semimartingales X,Y, their quadratic covariation [X,Y] exists. This is a consequence of the existence of the stochastic integral, and the covariation can be expressed by the integration by parts formula

[X,Y]t=XtYt-X0Y0-0tXs-𝑑Ys-0tYs-𝑑Xs.

Furthermore, suppose that Pn is a sequence of partitionsPlanetmathPlanetmath (http://planetmath.org/Partition3) of +,

Pn={0=τ0nτ1n}

where, τkn can, in general, be stopping times. Suppose that the mesh |Pnt|=supk(τknt-τk-1nt) tends to zero in probability as n, for each time t>0.Then, the approximations [X,Y]Pn to the quadratic covariation converge ucp (http://planetmath.org/UcpConvergence) to [X,Y] and, convergence also holds in the semimartingale topology.

A consequence of ucp convergence is that the jumps of the quadratic variation and covariation satisfy

Δ[X]=(ΔX)2,Δ[X,Y]=ΔXΔY

at all times.In particular, [X,Y] is continuousMathworldPlanetmath whenever X or Y is continuous.As quadratic variations are increasing processes, this shows that the sum of the squares of the jumps of a semimartingale is finite over any bounded interval

st(ΔXs)2[X]t<.

Given any two semimartingales X,Y, the polarization identityPlanetmathPlanetmath [X,Y]=([X+Y]-[X-Y])/4 expresses the covariation as a difference of increasing processes and, therefore is of finite variation (http://planetmath.org/FiniteVariationProcess), So, the continuous part of the covariation

[X,Y]tc[X,Y]t-stΔXsΔYs

is well defined and continuous.

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