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Article Dans Une Revue Stochastic Processes and their Applications Année : 2008

Estimation of quadratic variation for two-parameter diffusions

Résumé

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 View the MathML source of a two-parameter diffusion Y=(Y(s,t))(s,t)∈[0,1]^2 observed on a regular grid Gn form an asymptotically normal estimator of the quadratic variation of Y as n goes to infinity.

Dates et versions

hal-00918474 , version 1 (13-12-2013)

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Anthony Réveillac. Estimation of quadratic variation for two-parameter diffusions. Stochastic Processes and their Applications, 2008, 119 (05), pp.1652-1672. ⟨10.1016/j.spa.2008.08.006⟩. ⟨hal-00918474⟩
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