On Truncated Variation of Brownian Motion with Drift

@article{RafałŁochowski2008,
abstract = {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.},
author = {Rafał Łochowski},
journal = {Bulletin of the Polish Academy of Sciences. Mathematics},
keywords = {Brownian motion; variation},
language = {eng},
number = {3},
pages = {267-281},
title = {On Truncated Variation of Brownian Motion with Drift},
url = {http://eudml.org/doc/281146},
volume = {56},
year = {2008},
}

TY - JOUR
AU - Rafał Łochowski
TI - On Truncated Variation of Brownian Motion with Drift
JO - Bulletin of the Polish Academy of Sciences. Mathematics
PY - 2008
VL - 56
IS - 3
SP - 267
EP - 281
AB - 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.
LA - eng
KW - Brownian motion; variation
UR - http://eudml.org/doc/281146
ER -