2 00 7 Central limit theorems for multiple stochastic integrals and Malliavin calculus
نویسندگان
چکیده
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 convergence result for a sequence of square integrable random variables.
منابع مشابه
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...
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