 Quadratic covariation

ID: quadratic-covariation

The quadratic covariation of two continuous semimartingales is the limit in probability

[M, N]_{t} = lim_{∣ π ∣ \to 0} \sum_{[u, v] \in π} (M_{v} - M_{u}) (N_{v} - N_{u}) .

[M, N] = \frac{1}{4} ([M + N] - [M - N])

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