Small Noise Estimates of the Quadratic Covariation between Non-smooth Transformations of Brownian Motion

Sergio A. Almada Monter

Given a Brownian Motion $W$, in this paper we study the asymptotic behavior, as $\eps \to 0$, of the quadratic covariation between $f (\eps W)$ and $W$ in the case in which $f$ is…