Truncated variation, upward truncated variation and downward truncated variation of Brownian motion with drift — Their characteristics and applications-Reference-Cited by-同舟云学术

Truncated variation, upward truncated variation and downward truncated variation of Brownian motion with drift — Their characteristics and applications

Published:2011-02 Issue:2 Volume:121 Page:378-393
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Łochowski Rafał Marcin

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference11 articles.

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3. On almost sure convergence of quadratic Brownian variation;Fernandez de la Vega;Ann. Probab.,1974

4. O. Hadjiliadis, H. Zhang, Formulas for the Laplace transform of stopping times based on drawdowns and drawups, 2009. arXiv:0911.1575v1 [math.PR].

5. A new factorization property of selfdecomposable probability measures;Iksanov;Ann. Probab.,2004

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1. On a generalisation of the Banach Indicatrix Theorem;Colloquium Mathematicum;2017

2. On the double Laplace transform of the truncated variation of a Brownian motion with drift;LMS Journal of Computation and Mathematics;2016

3. Integrability and concentration of the truncated variation for the sample paths of fractional Brownian motions, diffusions and Lévy processes;Bernoulli;2015-02-01

4. The play operator, the truncated variation and the generalisation of the Jordan decomposition;Mathematical Methods in the Applied Sciences;2014-02-19

5. Integral and local limit theorems for level crossings of diffusions and the Skorohod problem;Electronic Journal of Probability;2014-01-01