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Bipower variation for Gaussian processes with stationary increments. (English) Zbl 1176.60029

From the authors’ abstract: Convergence in probability and central limit laws of bipower variation for Gaussian processes with stationary increments and for integrals with respect to such processes are derived. The main tools of the proofs are some recent powerful techniques of Wiener/Itô/Malliavin calculus for establishing limit laws, due to Nualart, Peccati and others.

MSC:

60G15 Gaussian processes
60H07 Stochastic calculus of variations and the Malliavin calculus
60F05 Central limit and other weak theorems
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