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Convergence of finite-dimensional laws of the weighted quadratic variations process for some fractional Brownian sheets

Réveillac, Anthony (2009), Convergence of finite-dimensional laws of the weighted quadratic variations process for some fractional Brownian sheets, Stochastic Analysis and Applications, 27, 1, p. 51-73. http://dx.doi.org/10.1080/07362990802564491

Type
Article accepté pour publication ou publié
External document link
http://arxiv.org/abs/0801.3416v3
Date
2009
Journal name
Stochastic Analysis and Applications
Volume
27
Number
1
Publisher
Taylor & Francis
Pages
51-73
Publication identifier
Metadata
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Author(s)
Réveillac, Anthony
Abstract (EN)
In this article, we state and prove a central limit theorem for the finite-dimensional laws of the quadratic variations process of certain fractional Brownian sheets. The main tool of this article is a method developed by Nourdin and Nualart in [18] based on the Malliavin calculus.
Subjects / Keywords
Functional limit theorems; Malliavin calculus; Two-parameter fractional Brownian motion