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On truncated variation, upward truncated variation and downward truncated variation for diffusions

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  • Łochowski, Rafał M.
  • Miłoś, Piotr
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    Abstract

    The truncated variation, TVc, is a fairly new concept introduced in Łochowski (2008) [5]. 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) [6], 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 Info

    Article provided by Elsevier in its journal Stochastic Processes and their Applications.

    Volume (Year): 123 (2013)
    Issue (Month): 2 ()
    Pages: 446-474

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    Handle: RePEc:eee:spapps:v:123:y:2013:i:2:p:446-474

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    Related research

    Keywords: Stochastic processes; Semimartingales; Diffusions; Truncated variation; Total variation;

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