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

Title & Authors
Asymptotic Behavior of the Weighted Cross-Variation of a Fractional Brownian Sheet
Kim, Yoon-Tae;

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 $\small{H=(H_1,H_2)}$ such that 0 < $\small{H_1}$ < 1/2 and 0 < $\small{H_1}$ < 1/2.
Keywords
Malliavin calculus;fractional Brownian sheet;cross-variation;multiple stochastic integral;
Language
English
Cited by
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