Timeline for Integral of Function of Brownian Motion w.r.t Time (Context: Computing Quadratic Variation)
Current License: CC BY-SA 4.0
4 events
| when toggle format | what | by | license | comment | |
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| Dec 13, 2022 at 22:07 | comment | added | mark leeds | Thanks Pontus. I get it now. It's appreciated. | |
| Dec 13, 2022 at 15:33 | comment | added | Pontus Hultkrantz | @markleeds: Since dS=0.5*v^2*Sdt + vSdB, we have that (dS)^2 = ...dt^2 + ...dtdB + ...dB^2 = ...dB^2 = ...dt, since dt^2~0, dt*dB~0, and dB^2 = dt. Quadratic variation is then given by integrating (dS^2) | |
| Dec 10, 2022 at 15:44 | comment | added | mark leeds | @Pontius: I followed most of it except for the "Hence, we have that" part. Could you explain that ? Thanks. | |
| Jul 13, 2022 at 13:35 | history | answered | Pontus Hultkrantz | CC BY-SA 4.0 |