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Convergence of a Power Variation Related to a Standard Brownian Sheet
- Issue Date
- 2010
- Publisher
- 한국통계학회
- Keywords
- Malliavin calculus; standard Brownian sheet; Malliavin derivative; central limit theorem; power variation
- Citation
- Communications for Statistical Applications and Methods, v.17, no.5, pp.647 - 652
- Volume
- 17
- Number
- 5
- Start Page
- 647
- End Page
- 652
- ISSN
- 2287-7843
- 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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Related Researcher
- Rhee, Joon Hee
- College of Business Administration (School of Business Administration)