Estimation of quadratic variation for two-parameter diffusions

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 Y=(Y(s,t))(s,t)[set membership, variant][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.

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Year of publication:	2009
Authors:	Réveillac, Anthony
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 119.2009, 5, p. 1652-1672
Publisher:	Elsevier
Keywords:	Weighted quadratic variation process Functional limit theorems Two-parameter stochastic processes Malliavin calculus

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874685