The Quadratic Variation of Gauss-Markov Semimartingales
Abstract
The covariance function of a Gauss-Markov process evaluated at points (s,t) admits a representation as a product of a function of (s,t) and a function of (s,t). We call these functions the covariance factors of a Gauss-Markov process, and give the expression of the quadratic variation of a Gauss-Markov semimartingale in terms of its covariance factors.
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