Variance and Covariance Processes
نویسنده
چکیده
In this section, we motivate the construction of variance and covariance processes for continuous local martingales, which is crucial in the construction of stochastic integrals w.r.t. continuous local martingales as we shall see. In this section, unless otherwise specified, we fix a Brownian motion Bt and a filtration {Ft} such that: 1. For each t, Bt is Ft-measurable. 2. For and s ≤ t, the random variable Bt −Bs is independent of the σ-field Fs.
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