On truncated variation, upward truncated variation and downward truncated variation for diffusions
AbstractThe truncated variation, TVc, is a fairly new concept introduced in Łochowski (2008) . Roughly speaking, given a càdlàg function f, its truncated variation is “the total variation which does not pay attention to small changes of f, below some threshold c>0”. The very basic consequence of such approach is that contrary to the total variation, TVc is always finite. This is appealing to the stochastic analysis where so-far large classes of processes, like semimartingales or diffusions, could not be studied with the total variation. Recently in Łochowski (2011) , another characterization of TVc has been found. Namely TVc is the smallest possible total variation of a function which approximates f uniformly with accuracy c/2. Due to these properties we envisage that TVc might be a useful concept both in the theory and applications of stochastic processes.
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Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 123 (2013)
Issue (Month): 2 ()
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
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