[KSCI] Korea Science Citation Index Service

http://dx.doi.org/10.5351/CKSS.2010.17.5.647

Convergence of a Power Variation Related to a Standard Brownian Sheet

Rhee, Joon-Hee (Department of Business and Administration, Soong-Sil University)
Kim, Yoon-Tae (Department of Finance and Information Statistics, Hallym University)

Publication Information

Communications for Statistical Applications and Methods / v.17, no.5, 2010 , pp. 647-652 More about this Journal

Abstract

By using a Malliavin calculus, we prove the central limit theorem on the power variation of the product of the unordered rectangles associated with a standard Brownian sheet.

Keywords

Malliavin calculus; standard Brownian sheet; Malliavin derivative; central limit theorem; power variation;

Citations & Related Records

Reference

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