Estimation of quadratic variation for two-parameter diffusions

DOI10.1016/j.spa.2008.08.006zbMath1161.62050arXiv0801.3027OpenAlexW2103472736MaRDI QIDQ1016633

Anthony Réveillac

Publication date: 6 May 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0801.3027

zbMATH Keywords

functional limit theoremsMalliavin calculustwo-parameter stochastic processesweighted quadratic variation process

Mathematics Subject Classification ID

Random fields; image analysis (62M40) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (6)

Ambit Fields: Survey and New Challenges ⋮ Limit theorems for power variations of ambit fields driven by white noise ⋮ The central limit theorem for cross-variation related to the standard Brownian sheet and Berry-Esseen bounds ⋮ Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\) ⋮ Stationary and multi-self-similar random fields with stochastic volatility ⋮ Asymptotic behavior of the weighted cross-variation with respect to fractional Brownian sheet

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• On the quadratic variation of two-parameter continuous martingales
• Une formule d'Itô pour les martingales continues à deux indices et quelques applications
• Volatility estimators for discretely sampled Lévy processes
• Weighted power variations of iterated Brownian motion
• The space D(A) and weak convergence for set-indexed processes
• Generalized stochastic integrals and the Malliavin calculus
• r-variations for two-parameter continuous martingales and Itô's formula
• Stochastic integrals in the plane
• On mixing and stability of limit theorems
• Quadratic variations and estimation of the local Hölder index of a Gaussian process
• Realized power variation and stochastic volatility models
• Anisotropic analysis of some Gaussian models
• Fractional Brownian sheet
• Generalized holomorphic processes and differentiability
• Asymptotic properties of realized power variations and related functionals of semimartingales
• Identification of an isometric transformation of the standard Brownian sheet
• Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
• A class of two-parameter stochastic integrators
• On mixing sequences of sets
• LIMIT THEOREMS FOR BIPOWER VARIATION IN FINANCIAL ECONOMETRICS
• Estimation of anisotropic Gaussian fields through Radon transform
• On Weak Convergence of Stochastic Processes with Multidimensional Time Parameter

This page was built for publication: Estimation of quadratic variation for two-parameter diffusions