The Quadratic Variation of Gauss-Markov Semimartingales
| Autor: | Kassis, Georges |
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| Rok vydání: | 2024 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| Popis: | The covariance function of a Gauss-Markov process evaluated at points $(s,t)$ admits a representation as a product of a function of $\min(s,t)$ and a function of $\max(s,t)$. We call these functions the covariance factors of a Gauss-Markov process, and give the expression of the quadratic variation of a Gauss-Markov semimartingale in terms of its covariance factors. |
| Databáze: | arXiv |
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