Math 2.0

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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Further reading

  1. Web https://en.wikipedia.org/wiki/Quadratic_variation
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