Central Limit Theorems for Multiple Skorokhod Integrals |
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| Authors: | Ivan Nourdin David Nualart |
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| Affiliation: | 1.Laboratoire de Probabilités et Modèles Aléatoires,Université Pierre et Marie Curie,Paris Cedex 5,France;2.Department of Mathematics,University of Kansas,Lawrence,USA |
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| Abstract: | In this paper, we prove a central limit theorem for a sequence of multiple Skorokhod integrals using the techniques of Malliavin calculus. The convergence is stable, and the limit is a conditionally Gaussian random variable. Some applications to sequences of multiple stochastic integrals, and renormalized weighted Hermite variations of the fractional Brownian motion are discussed. |
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