Asymptotic behavior of the weighted cross-variation with respect to fractional Brownian sheet

DOI10.1016/j.jkss.2014.07.004zbMath1319.60082OpenAlexW2042119762MaRDI QIDQ2355261

Yoon Tae Kim

Publication date: 21 July 2015

Published in: Journal of the Korean Statistical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jkss.2014.07.004

zbMATH Keywords

Malliavin calculusmultiple stochastic integralfractional Brownian sheetcross-variation

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) (L^p)-limit theorems (60F25)

Cites Work

• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• Central limit theorems for multiple Skorokhod integrals
• Estimation of quadratic variation for two-parameter diffusions
• Stochastic integrals in the plane
• Itô formula and local time for the fractional {B}rownian sheet
• Differentiation formula in Stratonovich version for fractional Brownian sheet
• Various types of stochastic integrals with respect to fractional Brownian sheet and their applications
• Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
• The Malliavin Calculus and Related Topics
• Convergence of Finite-Dimensional Laws of the Weighted Quadratic Variations Process for Some Fractional Brownian Sheets
• Martingales and stochastic integrals for processes with a multi-dimensional parameter