dc.date.accessioned | 2022-03-07T17:48:27Z | |
dc.date.available | 2022-03-07T17:48:27Z | |
dc.date.created | 2022-02-07T14:50:46Z | |
dc.date.issued | 2022 | |
dc.identifier.citation | Benth, Fred Espen Schroers, Dennis Veraart, Almut E. D. . A weak law of large numbers for realised covariation in a Hilbert space setting. Stochastic Processes and their Applications. 2022, 145, 241-268 | |
dc.identifier.uri | http://hdl.handle.net/10852/92038 | |
dc.description.abstract | This article generalises the concept of realised covariation to Hilbert-space-valued stochastic processes. More precisely, based on high-frequency functional data, we construct an estimator of the trace-class operator-valued integrated volatility process arising in general mild solutions of Hilbert space-valued stochastic evolution equations in the sense of Da Prato and Zabczyk (2014). We prove a weak law of large numbers for this estimator, where the convergence is uniform on compacts in probability with respect to the Hilbert–Schmidt norm. In addition, we determine convergence rates for common stochastic volatility models in Hilbert spaces. | |
dc.language | EN | |
dc.publisher | North Holland Publishing Company | |
dc.rights | Attribution 4.0 International | |
dc.rights.uri | https://creativecommons.org/licenses/by/4.0/ | |
dc.title | A weak law of large numbers for realised covariation in a Hilbert space setting | |
dc.type | Journal article | |
dc.creator.author | Benth, Fred Espen | |
dc.creator.author | Schroers, Dennis | |
dc.creator.author | Veraart, Almut E. D. | |
cristin.unitcode | 185,15,13,35 | |
cristin.unitname | Stokastisk, finans og risiko | |
cristin.ispublished | true | |
cristin.fulltext | original | |
cristin.qualitycode | 2 | |
dc.identifier.cristin | 1998630 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Stochastic Processes and their Applications&rft.volume=145&rft.spage=241&rft.date=2022 | |
dc.identifier.jtitle | Stochastic Processes and their Applications | |
dc.identifier.volume | 145 | |
dc.identifier.startpage | 241 | |
dc.identifier.endpage | 268 | |
dc.identifier.doi | https://doi.org/10.1016/j.spa.2021.12.011 | |
dc.identifier.urn | URN:NBN:no-94631 | |
dc.type.document | Tidsskriftartikkel | |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 0304-4149 | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/92038/1/spa-bsv-LLN-Hilbert.pdf | |
dc.type.version | PublishedVersion | |
dc.relation.project | NFR/274410 | |