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Concept
Quadratic Variation
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Summary
Quadratic Variation
is a measure of the
Accumulated variability
of a
Stochastic Process
that takes into account the
Square of the increments
. It is especially important in the analysis of
Financial Markets
, primarily for processes with
Continuous paths
like
Brownian Motion
, where it distinguishes between
Finite variances
and
Increments that converge
in
Quadratic Mean
.
Concepts
Stochastic Calculus
Brownian Motion
Itô Lemma
Variance
Continuous Processes
Financial Mathematics
Itô Calculus
Martingales
Sample Path Properties
Convergence In Mean Square
Power Variation
Ito Integral
Relevant Degrees
Probability and Statistics 100%
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