most citedCentral limit theorems for sequences of multiple stochastic integrals

461 citations · 602 across the 2 of their papers we have counts for

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math.PR2005★ 141 cited

Renormalized self-intersection local time for fractional Brownian motion

Yaozhong Hu, David Nualart

Let B_t^H be a d-dimensional fractional Brownian motion with Hurst parameter H\in(0,1). Assume d\geq2. We prove that the renormalized self-intersection local time\ell=\int_0^T\int_…

math.PR2005★ 461 cited

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…