Probability theory and stochastic processes Martingales Concept
Quadratic variation
Summary
The quadratic variation of a process is the limit of the sums of squared increments over finer and finer partitions of a time interval. For smooth paths it is zero, but for Brownian motion it equals the elapsed time. It is the correction term in Itô's lemma and a basic tool for semimartingales.
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| Tag | X4DHMZD5JA |
|---|---|
| URI | m2://X4DHMZD5JA |
| Kind | concept |
| Writing | W0 stub |
| MSC | 60G44, 60H05 |
| Same as | |
| Changed | 2 November 2026 |
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