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Quantitative Finance · Glosarium

Apa itu Quadratic variation?

Definition 2.11 Quantitative Methods · Bab 2 — Brownian Motion

The quadratic variation of a process XX on [0,t][0, t] is the limit in probability [X]t=lim⁡∑k(Xtk+1−Xtk)2[X]_t = \lim\sum_k (X_{t_{k+1}} - X_{t_k})^2 over partitions 0=t0<⋯<tn=t0 = t_0 < \dots < t_n = t whose mesh max⁡k(tk+1−tk)\max_k(t_{k+1} - t_k) tends to zero, when it exists.

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