Quadratic Variation
Chapter 19: Stochastic Differential Equations — Quadratic Variation
From the book
Chapter 19: Stochastic Differential Equations. In the chapter mind map this icon labels Quadratic Variation. The discussion below is excerpted and lightly edited from § Quadratic Variation in Mathematics for AI and Machine Learning.
Itô calculus, SDEs, and continuous-time stochastic processes
What this drawing shows
What you see. Identity $(dW_t)^2 = dt$ fixed; purple area and $dt$ / $dW$ legs grow to show quadratic variation equals the time increment.
In the mind map. Chapter 19 — Quadratic Variation. See From the book above for definitions, figures, and worked examples.
Where to read next
Read the full definitions, figures, and worked examples in Chapter 19: Stochastic Differential Equations — see the mind-map node Quadratic Variation.
