Meyer, Bernard De - Cowles Foundation for Research in Economics, Yale University - 2007
the price dynamics: the price process will be, as defined in this paper, a continuous martingale of maximal variation … will therefore chose the martingale L? that maximizes the M-variation. Under a mere continuity hypothesis on M, we prove in … this paper that L? will converge to a continuous martingale of maximal variation. This limit is independent of M. …