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4 papers · 1 filter
Central limit theorems for sequences of multiple stochastic integrals
David Nualart, Giovanni Peccati
We characterize the convergence in distribution to a standard normal law for a sequence of multiple stochastic integrals of a fixed order with variance converging to 1. Some applic…
Large deviations for rough paths of the fractional Brownian motion
Annie Millet, Marta Sanz-Solé
Starting from the construction of a geometric rough path associated with a fractional Brownian motion with Hurst parameter given by Coutin and Qian (2002), we…
Regularity of the sample paths of a class of second order spde's
Robert C. Dalang, Marta Sanz-Solé
We study the sample path regularity of the solutions of a class of spde's which are second order in time and that includes the stochastic wave equation. Non-integer powers of the s…
SPDEs with coloured noise: Analytic and stochastic approaches
Marco Ferrante, Marta Sanz-Solé
We study strictly parabolic stochastic partial differential equations on , , driven by a Gaussian noise white in time and coloured in space. Assuming that the coeffic…