2-variation Of Continuous Price Processes
This question beclongs to continuous-time game-theoretic probability and is asked in [Vovk 2007], Section 5.
It is known that, almost surely, the strong -variation of non-constant continuous price processes is finite when and infinite when . What is the situation when ?
- Vladimir Vovk. Continuous-time trading and the emergence of volatility. arXiv technical report, December 2007. Also published in Electronic Communications in Probability (June 2008).