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.