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Results tagged with stochastic-calculus
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user 85594
Stochastic calculus provides a consistent theory of integration for stochastic processes and is used to model random systems. Its applications range from statistical physics to quantitative finance.
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Quadratic variation and the variance of a semimartingales
I will describe an example that seemingly contradicts the following
Theorem
For a local martingale $M$, let $[M,M]_t$ be its quadratic variation at $t$. For any $t$, if $E[[M,M]_t]<\infty$, then $E[[ …
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