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

Réveillac, Anthony (2009), Convergence of finite-dimensional laws of the weighted quadratic variations process for some fractional Brownian sheets, Stochastic Analysis and Applications, 27, 1, p. 51-73. http://dx.doi.org/10.1080/07362990802564491

Type
Article accepté pour publication ou publié
Lien vers un document non conservé dans cette base
http://arxiv.org/abs/0801.3416v3
Date
2009
Nom de la revue
Stochastic Analysis and Applications
Volume
27
Numéro
1
Éditeur
Taylor & Francis
Pages
51-73
Identifiant publication
Métadonnées
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Auteur(s)
Réveillac, Anthony
Résumé (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.
Mots-clés
Functional limit theorems; Malliavin calculus; Two-parameter fractional Brownian motion