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quadratic variation : ウィキペディア英語版
quadratic variation
In mathematics, quadratic variation is used in the analysis of stochastic processes such as Brownian motion and other martingales. Quadratic variation is just one kind of variation of a process.
== Definition ==

Suppose that ''X''''t'' is a real-valued stochastic process defined on a probability space (\Omega,\mathcal,\mathbb) and with time index ''t'' ranging over the non-negative real numbers. Its quadratic variation is the process, written as ()''t'', defined as
:()_t=\lim_\sum_^n(X_-X_\sum_^\left(X_-X_-Y_(()_t-()_t).

抄文引用元・出典: フリー百科事典『 ウィキペディア(Wikipedia)
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