Central limit theorems for multiple Skorohod integrals
arXiv:0707.3448
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.
32 pages; major changes in Sections 4 and 5
References in corpus (6)
- Central limit theorems for sequences of multiple stochastic integrals
- Renormalized self-intersection local time for fractional Brownian motion
- Noncentral convergence of multiple integrals
- Asymptotic behavior of weighted quadratic and cubic variations of fractional Brownian motion
- Central and non-central limit theorems for weighted power variations of fractional Brownian motion
- Moments, cumulants and diagram formulae for non-linear functionals of random measures