Central limit theorems for multiple stochastic integrals and Malliavin calculus
نویسندگان
چکیده
منابع مشابه
2 00 7 Central limit theorems for multiple stochastic integrals and Malliavin calculus
We give a new characterization for the convergence in distribution to a standard normal law of a sequence of multiple stochastic integrals of a fixed order with variance one, in terms of the Malliavin derivatives of the sequence. We also give a new proof of the main theorem in [7] using techniques of Malliavin calculus. Finally, we extend our result to the multidimensional case and prove a weak...
متن کامل7 Central limit theorems for multiple stochastic integrals and Malliavin calculus
We give a new characterization for the convergence in distribution to a standard normal law of a sequence of multiple stochastic integrals of a fixed order with variance one, in terms of the Malliavin derivatives of the sequence. We also give a new proof of the main theorem in [7] using techniques of Malliavin calculus. Finally, we extend our result to the multidimensional case and prove a weak...
متن کاملLimit theorems for multiple stochastic integrals
We show that the general stable convergence results proved in Peccati and Taqqu (2007) for generalized adapted stochastic integrals can be used to obtain limit theorems for multiple stochastic integrals with respect to independently scattered random measures. Several applications are developed in a companion paper (see Peccati and Taqqu, 2008a), where we prove central limit results involving si...
متن کاملCentral limit theorems for multiple Skorohod integrals
In this paper, we prove a central limit theorem for a sequence of multiple Skorohod 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 quadratic variation of the fractional Brownian motion are discussed.
متن کاملCentral limit theorems for double Poisson integrals
Motivated by second order asymptotic results, we characterize the convergence in law of double integrals, with respect to Poisson random measures, toward a standard Gaussian distribution. Our conditions are expressed in terms of contractions of the kernels. To prove our main results, we use the theory of stable convergence of generalized stochastic integrals developed by Peccati and Taqqu. One ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2008
ISSN: 0304-4149
DOI: 10.1016/j.spa.2007.05.004