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

DOI10.1016/J.JKSS.2014.07.004MaRDI QIDQ2355261zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Malliavin calculusfractional Brownian sheetmultiple stochastic integralcross-variation

Mathematics Subject Classification ID

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

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Cites work

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

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