Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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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)
  • Received : 20100500
  • Accepted : 20100600
  • Published : 2010.09.30
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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.

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References

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