A weak law of large numbers for realised covariation in a Hilbert space setting

DOI10.1016/j.spa.2021.12.011zbMath1480.60177arXiv2011.13030OpenAlexW3109484690MaRDI QIDQ2074990

Fred Espen Benth, Dennis Schroers, Almut E. D. Veraart

Publication date: 11 February 2022

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

Full work available at URL: https://arxiv.org/abs/2011.13030

zbMATH Keywords

Hilbert spacelaw of large numbersevolution equationsvolatilityquadratic covariationhigh-frequency estimation

Mathematics Subject Classification ID

Strong limit theorems (60F15) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Probability theory on linear topological spaces (60B11)

Related Items (1)

Nonparametric calibration for stochastic reaction-diffusion equations based on discrete observations

Uses Software

• fda (R)

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