If and a continuous semimartingale is a semimartingale under both measures, its quadratic variations agree -indistinguishably. The same squared-increment sums converge uniformly on compacts in probability under both measures: absolute continuity transfers the original convergence, and uniqueness of the limit identifies the two continuous versions. Equivalence of measures is unnecessary.

Ancestors (10)

  1. Quadratic covariation under an absolutely continuous measure change
  2. Quadratic covariation
  3. Quadratic variation
  4. Stochastic calculus
  5. Stochastic process
  6. Probability theory
  7. Probability and statistics
  8. Area of mathematics
  9. Mathematics
  10. Home

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