| Título: | Optional processes with non-exploding realized power variation along stopping times are làglàd |
| Autores: |
Kühn, Christoph; Goethe-University Frankfurt Teusch, Marc; Deloitte Germany |
| Fecha: | 2011-01-01 |
| Publicador: | Electronic communications in probability |
| Fuente: |
 |
| Tipo: |
Peer-reviewed Article |
| Tema: |
power variation, path properties, stopping times 60G07, 60G17, 60G40 |
| Descripción: | 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 along deterministic points in time, the assertion would obviously be wrong. |
| Idioma: | No aplica |
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