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Approximation of the finite dimensional distributions of multiple fractional integrals |
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| Authors: | Xavier Bardina Khalifa Es-Sebaiy |
| Institution: | a Departament de Matemàtiques, Universitat Autònoma de Barcelona, 08193-Bellaterra (Barcelona), Spain b SAMM, Université de Paris 1 Panthéon-Sorbonne, 90, rue de Tolbiac, 75634, Paris, France c Laboratoire Paul Painlevé, Université de Lille 1, F-59655 Villeneuve d'Ascq, France |
| Abstract: | We construct a family Inεt(f) of continuous stochastic processes that converges in the sense of finite dimensional distributions to a multiple Wiener-Itô integral  with respect to the fractional Brownian motion. We assume that  and we prove our approximation result for the integrands f in a rather general class. |
| Keywords: | Multiple stochastic integrals Limit theorems Fractional Brownian motion Weak convergence |
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