Central Limit Theorems for Multiple Skorokhod Integrals |
| |
Authors: | Ivan Nourdin David Nualart |
| |
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 |
| |
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. |
| |
Keywords: | |
本文献已被 SpringerLink 等数据库收录! |
|