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Convergence en loi des H-variations d'un processus gaussien stationnaire sur R

Xavier Guyon · José Alejandro Villalta León

83 citations0/0 files storedFrench digital mathematics library (Numdam)

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Stochastic processes and financial applications Probability and Statistical Research Stochastic processes and statistical mechanics

Abstract

Etant donne une fonctionnelle H, un processus gaussien stationnaire X est la partition reguliere de pas 1/n de l'intervalle [0,1], notee π n , on etudie la convergence faible de la H-variation de X le long de π n quand n tend vers l'infini. La limite est gaussienne ou bien appartient a un chaos de Wiener

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