Monter, Almada; Angel, Sergio - In: Stochastic Processes and their Applications 125 (2015) 1, pp. 343-361
Given a Brownian Motion W, in this paper we study the asymptotic behavior, as ε→0, of the quadratic covariation between f(εW) and W in the case in which f is not smooth. Among the main features discovered is that the speed of the decay in the case f∈Cα is at least polynomial in ε and not...