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 ${c>0}$). 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.
