dc.contributor.author | Réveillac, Anthony | |
dc.date.accessioned | 2011-10-04T10:40:23Z | |
dc.date.available | 2011-10-04T10:40:23Z | |
dc.date.issued | 2009 | |
dc.identifier.uri | https://basepub.dauphine.fr/handle/123456789/7102 | |
dc.language.iso | en | en |
dc.subject | Weighted quadratic variation process | en |
dc.subject | Functional limit theorems | en |
dc.subject | Two-parameter stochastic processes | en |
dc.subject | Malliavin calculus | en |
dc.subject.ddc | 519 | en |
dc.title | Estimation of quadratic variation for two-parameter diffusions | en |
dc.type | Article accepté pour publication ou publié | |
dc.description.abstracten | In 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.isversionofjnlname | Stochastic Processes and their Applications | |
dc.relation.isversionofjnlvol | 119 | en |
dc.relation.isversionofjnlissue | 5 | en |
dc.relation.isversionofjnldate | 2009 | |
dc.relation.isversionofjnlpages | 1652-1672 | en |
dc.relation.isversionofdoi | http://dx.doi.org/10.1016/j.spa.2008.08.006 | en |
dc.identifier.urlsite | http://arxiv.org/abs/0801.3027v1 | en |
dc.description.sponsorshipprivate | oui | en |
dc.relation.isversionofjnlpublisher | Elsevier | en |
dc.subject.ddclabel | Probabilités et mathématiques appliquées | en |