Asymptotic behavior of the weighted cross-variation with respect to fractional Brownian sheet
DOI10.1016/J.JKSS.2014.07.004zbMATH Open1319.60082OpenAlexW2042119762MaRDI QIDQ2355261FDOQ2355261
Authors: 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
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Cites Work
- The Malliavin Calculus and Related Topics
- Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
- Convergence of Finite-Dimensional Laws of the Weighted Quadratic Variations Process for Some Fractional Brownian Sheets
- Central and non-central limit theorems for weighted power variations of fractional Brownian motion
- Central limit theorems for multiple Skorokhod integrals
- Stochastic integrals in the plane
- Itô formula and local time for the fractional {B}rownian sheet
- Estimation of quadratic variation for two-parameter diffusions
- Martingales and stochastic integrals for processes with a multi-dimensional parameter
- Differentiation formula in Stratonovich version for fractional Brownian sheet
- Various types of stochastic integrals with respect to fractional Brownian sheet and their applications
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