Central limit theorems for multiple Skorohod integrals - Archive ouverte HAL Access content directly
Preprints, Working Papers, ... Year : 2009

Central limit theorems for multiple Skorohod integrals

Abstract

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.
Fichier principal
Vignette du fichier
NoNu-jotp-revise2.pdf (275.93 Ko) Télécharger le fichier
Origin : Files produced by the author(s)

Dates and versions

hal-00164821 , version 1 (23-07-2007)
hal-00164821 , version 2 (20-09-2007)
hal-00164821 , version 3 (09-01-2008)
hal-00164821 , version 4 (20-08-2008)
hal-00164821 , version 5 (02-09-2009)

Identifiers

Cite

Ivan Nourdin, David Nualart. Central limit theorems for multiple Skorohod integrals. 2009. ⟨hal-00164821v5⟩
175 View
346 Download

Altmetric

Share

Gmail Facebook X LinkedIn More