The Quadratic Variation of Gauss-Markov Semimartingales

Georges Kassis

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arXiv · 2405.18270

The Quadratic Variation of Gauss-Markov Semimartingales

Georges Kassis

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Abstract

The covariance function of a Gauss-Markov process evaluated at points $(s,t)$ admits a representation as a product of a function of $\min(s,t)$ and a function of $\max(s,t)$. We call these functions the covariance factors of a Gauss-Markov process, and give the expression of the quadratic variation of a Gauss-Markov semimartingale in terms of its covariance factors.

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Georges Kassis. 2024-05-28. The Quadratic Variation of Gauss-Markov Semimartingales. https://arxiv.org/abs/2405.18270

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