The Quadratic Variation of Gauss-Markov Semimartingales

2024/05/28 by Kassis, Georges
#FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.2405.18270

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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