On Truncated Variation of Brownian Motion with Drift
Rafał Łochowski (2008)
Bulletin of the Polish Academy of Sciences. Mathematics
Similarity:
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.