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Let $W_1(t)$ and $W_2(t)$ be standard Brownian motions for $t\geq 0$.

I have come across the notation

$$d\langle W_1, W_2\rangle$$

in a text I am reading, but I cannot find the definition for it. I assume it a standard term in the study of stochastic processes.

I am hoping someone can shed light on what it means.

Lutz Lehmann
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Xiaomi
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    Integration with respect to the quadratic covariation of $W_1$ and $W_2$. –  Jul 14 '19 at 02:09

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