Estimation of quadratic variation for two-parameter diffusions

Anthony Réveillac

Stochastic Processes and their Applications, 2009, vol. 119, issue 5, 1652-1672

Abstract: In this paper we give a central limit theorem for the weighted quadratic variation process of a two-parameter Brownian motion. As an application, we show that the discretized quadratic variations of a two-parameter diffusion Y=(Y(s,t))(s,t)[set membership, variant][0,1]2 observed on a regular grid Gn form an asymptotically normal estimator of the quadratic variation of Y as n goes to infinity.

Keywords: Weighted; quadratic; variation; process; Functional; limit; theorems; Two-parameter; stochastic; processes; Malliavin; calculus (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (1)

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