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Quadratic variation, p-variation and integration with applications to stock price modelling

Rimas Norvaisa
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Abstract

The paper develops a calculus for a class of real-valued functions having a quadratic variation. The main result is a solution of the representation problem for a class of evolutions having a quadratic variation. The result is applied to build up an asset pricing model. Also in the paper there are some results concerning an extension of the class of all semimartingales.

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Rimas Norvaisa. 2001-08-13. Quadratic variation, p-variation and integration with applications to stock price modelling. https://arxiv.org/abs/math/0108090

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