QuadraticVariation: Discretized quadratic variation of a stochastic process
In Uffe-H-Thygesen/SDEtools: Utilities for Stochastic Differential Equations

QuadraticVariation

R Documentation

Discretized quadratic variation of a stochastic process

Description

Discretized quadratic variation of a stochastic process

Usage

QuadraticVariation(X)

Arguments

`X`	numeric vector containing the process

Value

A numeric vector, same length as X, giving the discretized quadratic variation as a function of time

Examples

## Quadratic Variation of Brownian motion
times <- seq(0,10,0.01)
B <- rBM(times)
plot(times,QuadraticVariation(B))

## Quadratic Variation of an Ito integral
G <- cos(B)
X <- itointegral(G,B)
plot(times,QuadraticVariation(X))
lines(times,itointegral(G^2,times))

Uffe-H-Thygesen/SDEtools documentation built on Jan. 15, 2025, 6:41 p.m.