Optional processes with non-exploding realized power variation along stopping times are làglàd
نویسندگان
چکیده
منابع مشابه
Optional Processes with Non-exploding Realized Power Variation along Stopping times Are Làglàd
Abstract We prove that an optional process of non-exploding realized power variation along stopping times possesses almost surely làglàd paths. This result is useful for the analysis of some imperfect market models in mathematical finance. In the finance applications variation naturally appears along stopping times and not pathwise. On the other hand, if the power variation were only taken alon...
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ژورنال
عنوان ژورنال: Electronic Communications in Probability
سال: 2011
ISSN: 1083-589X
DOI: 10.1214/ecp.v16-1591