Estimation of quadratic variation for two-parameter diffusions
نویسندگان
چکیده
Abstract In 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 [ns] i=1 [nt] j=1 |∆i,jY | of a twoparameter diffusion Y = (Y(s,t))(s,t)∈[0,1]2 observed on a regular grid Gn is an asymptotically normal estimator of the quadratic variation of Y as n goes to infinity.
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تاریخ انتشار 2007