On Truncated Variation of Brownian Motion with Drift

• Autorzy: Rafał Łochowski
• Języki publikacji: EN

Abstrakty

EN

We introduce the concept of truncated variation of Brownian motion with drift, which differs from regular variation by neglecting small jumps (smaller than some c > 0). We estimate the expected value of the truncated variation. The behaviour resembling phase transition as c varies is revealed. Truncated variation appears in the formula for an upper bound for return from any trading based on a single asset with flat commission.

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Bulletin of the Polish Academy of Sciences. Mathematics
• Rocznik: 2008
• Tom: 56
• Numer: 3
• Strony: 267-281

Daty

wydano

2008

Twórcy

autor

Rafał Łochowski

• Department of Mathematical Economics, Warsaw School of Economics, Al. Niepodległości 162, 02-554 Warszawa, Poland

Identyfikatory

DOI

10.4064/ba56-3-9