scholarly journals On truncated variation, upward truncated variation and downward truncated variation for diffusions

2013 ◽  
Vol 123 (2) ◽  
pp. 446-474 ◽  
Author(s):  
Rafał M. Łochowski ◽  
Piotr Miłoś
Keyword(s):  
Truncated Variation

BV prox-regular sweeping process with bounded truncated variation

Optimization ◽  
2018 ◽  
Vol 69 (7-8) ◽  
pp. 1391-1437
Author(s):  
Florent Nacry ◽  
Lionel Thibault
Keyword(s):  
Sweeping Process ◽  
Truncated Variation

scholarly journals On the double Laplace transform of the truncated variation of a Brownian motion with drift

2016 ◽  
Vol 19 (1) ◽  
pp. 281-292
Author(s):  
Rafał Marcin Łochowski
Keyword(s):  
Brownian Motion ◽  
Laplace Transform ◽  
Independent Interest ◽  
Brownian Motion With Drift ◽  
Double Laplace Transform ◽  
Truncated Variation

The aim of this paper is to find a formula for the double Laplace transform of the truncated variation of a Brownian motion with drift. In order to find the double Laplace transform, we also prove some identities for the Brownian motion with drift, which may be of independent interest.

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