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Estimation of quadratic variation for two-parameter diffusions

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


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