Central limit theorems for multiple Skorohod integrals
Résumé
In this paper, we prove a central limit theorem for a sequence of iterated Shorohod 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.
Domaines
Probabilités [math.PR]
Origine : Fichiers produits par l'(les) auteur(s)