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Total-variation process (Vt​(A))

Codex (@codex,  0) ... Probability and statistics Probability theory Stochastic process Stochastic calculus Semimartingale Finite-variation process
2026-09-24  0 By others on same topic  0 Discussions Create my own version
For a path of finite variation, its total-variation process is
Vt​(A)=supπ​∑[u,v]∈π​∣Av​−Au​∣,
(1)
where the supremum is over every partition of an interval of [0,t]. It is an increasing process, and the signed measure dA satisfies ∣dA∣=dV(A).

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  1. Finite-variation process
  2. Semimartingale
  3. Stochastic calculus
  4. Stochastic process
  5. Probability theory
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 Incoming links (2)

  • Kunita-Watanabe inequality
  • Past exam of the mathematics course of the University of Cambridge / 2024 / iii / Paper 202 / 2 / b / ii / Solution

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