Saved in:
| Main Author: | |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2405.18270 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866911085004587008 |
|---|---|
| author | Kassis, Georges |
| author_facet | Kassis, Georges |
| contents | 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. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2405_18270 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | The Quadratic Variation of Gauss-Markov Semimartingales Kassis, Georges Probability 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. |
| title | The Quadratic Variation of Gauss-Markov Semimartingales |
| topic | Probability |
| url | https://arxiv.org/abs/2405.18270 |