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http://dx.doi.org/10.5351/CKSS.2012.19.3.303

Asymptotic Behavior of the Weighted Cross-Variation of a Fractional Brownian Sheet  

Kim, Yoon-Tae (Department of Statistics, Hallym University)
Publication Information
Communications for Statistical Applications and Methods / v.19, no.3, 2012 , pp. 303-313 More about this Journal
Abstract
By using the techniques of a Malliavin calculus, we study the asymptotic behavior of the weighted cross-variation of a fractional Brownian sheet with a Hurst parameter $H=(H_1,H_2)$ such that 0 < $H_1$ < 1/2 and 0 < $H_1$ < 1/2.
Keywords
Malliavin calculus; fractional Brownian sheet; cross-variation; multiple stochastic integral;
Citations & Related Records
Times Cited By KSCI : 2  (Citation Analysis)
연도 인용수 순위
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