Estimation of quadratic variation for two-parameter diffusions

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dc.creatorRéveillac, Anthony
dc.date2008-01-19
dc.date.accessioned2026-07-07T08:55:31Z
dc.date.available2026-07-07T08:55:31Z
dc.descriptionIn this paper we give a central limit theorem for the weighted quadratic variations process of a two-parameter Brownian motion. As an application, we show that the discretized quadratic variations $\sum_{i=1}^{[n s]} \sum_{j=1}^{[n t]} | Δ_{i,j} Y |^2$ of a two-parameter diffusion $Y=(Y_{(s,t)})_{(s,t)\in[0,1]^2}$ observed on a regular grid $G_n$ is an asymptotically normal estimator of the quadratic variation of $Y$ as $n$ goes to infinity.
dc.description29 pages
dc.identifierhttps://arxiv.org/abs/0801.3027
dc.identifierhttp://arxiv.org/abs/0801.3027
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/146297
dc.subjectProbability
dc.subjectStatistics Theory
dc.subject62G05, 60F05, 62M40, 60H07
dc.titleEstimation of quadratic variation for two-parameter diffusions
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