On Truncated Variation of Brownian Motion with Drift
Volume 56 / 2008
Bulletin Polish Acad. Sci. Math. 56 (2008), 267-281
MSC: Primary 60G15.
DOI: 10.4064/ba56-3-9
Abstract
We introduce the concept of truncated variation of Brownian motion with drift, which differs from regular variation by neglecting small jumps (smaller than some ). We estimate the expected value of the truncated variation. The behaviour resembling phase transition as c varies is revealed. Truncated variation appears in the formula for an upper bound for return from any trading based on a single asset with flat commission.
