Convergence of finite-dimensional laws of the weighted quadratic variations process for some fractional Brownian sheets

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Date
2009
Link to item file
http://arxiv.org/abs/0801.3416v3
Dewey
Probabilités et mathématiques appliquées
Sujet
Functional limit theorems; Malliavin calculus; Two-parameter fractional Brownian motion
Journal issue
Stochastic Analysis and Applications
Volume
27
Number
1
Publication date
2009
Article pages
51-73
Publisher
Taylor & Francis
DOI
http://dx.doi.org/10.1080/07362990802564491
URI
https://basepub.dauphine.fr/handle/123456789/7104
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Author
Réveillac, Anthony
Type
Article accepté pour publication ou publié
Abstract (EN)
In this article, we state and prove a central limit theorem for the finite-dimensional laws of the quadratic variations process of certain fractional Brownian sheets. The main tool of this article is a method developed by Nourdin and Nualart in [18] based on the Malliavin calculus.