Show simple item record

dc.contributor.authorRéveillac, Anthony
dc.date.accessioned2011-10-04T10:40:23Z
dc.date.available2011-10-04T10:40:23Z
dc.date.issued2009
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7102
dc.language.isoenen
dc.subjectWeighted quadratic variation processen
dc.subjectFunctional limit theoremsen
dc.subjectTwo-parameter stochastic processesen
dc.subjectMalliavin calculusen
dc.subject.ddc519en
dc.titleEstimation of quadratic variation for two-parameter diffusionsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenIn this paper we give a central limit theorem for the weighted quadratic variations process of a two-parameter Brownian motion. As an application, we show that the discretized quadratic variations $\sum_{i=1}^{[n s]} \sum_{j=1}^{[n t]} | \Delta_{i,j} Y |^2$ of a two-parameter diffusion $Y=(Y_{(s,t)})_{(s,t)\in[0,1]^2}$ observed on a regular grid $G_n$ is an asymptotically normal estimator of the quadratic variation of $Y$ as $n$ goes to infinity.en
dc.relation.isversionofjnlnameStochastic Processes and their Applications
dc.relation.isversionofjnlvol119en
dc.relation.isversionofjnlissue5en
dc.relation.isversionofjnldate2009
dc.relation.isversionofjnlpages1652-1672en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.spa.2008.08.006en
dc.identifier.urlsitehttp://arxiv.org/abs/0801.3027v1en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record