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Estimation of quadratic variation for two-parameter diffusions
- Source :
-
Stochastic Processes & Their Applications . May2009, Vol. 119 Issue 5, p1652-1672. 21p. - Publication Year :
- 2009
-
Abstract
- Abstract: In this paper we give a central limit theorem for the weighted quadratic variation process of a two-parameter Brownian motion. As an application, we show that the discretized quadratic variations of a two-parameter diffusion observed on a regular grid form an asymptotically normal estimator of the quadratic variation of as goes to infinity. [Copyright &y& Elsevier]
- Subjects :
- *WIENER processes
*STOCHASTIC processes
*LIMIT theorems
*MALLIAVIN calculus
Subjects
Details
- Language :
- English
- ISSN :
- 03044149
- Volume :
- 119
- Issue :
- 5
- Database :
- Academic Search Index
- Journal :
- Stochastic Processes & Their Applications
- Publication Type :
- Academic Journal
- Accession number :
- 37161982
- Full Text :
- https://doi.org/10.1016/j.spa.2008.08.006