Central limit theorems for multiple stochastic integrals and Malliavin calculus

Stochastic Processes and their Applications

Volumn 118, Issue 4, 2008, Pages 614-628

  Nualart, D ^a   Ortiz Latorre, S ^b  

^a UNIVERSITY OF KANSAS   (United States)

^b UNIVERSITY OF BARCELONA   (Spain)

Author keywords

Gaussian processes; Limit theorems; Malliavin calculus; Multiple stochastic integrals; Weak convergence

Indexed keywords

GAUSSIAN DISTRIBUTION; INTEGRAL EQUATIONS; STOCHASTIC PROGRAMMING; VECTORS;

LIMIT THEOREMS; MALLIAVIN CALCULUS; MULTIPLE STOCHASTIC INTEGRALS; WEAK CONVERGENCE;

THEOREM PROVING;

EID: 39149144861     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2007.05.004     Document Type: Article

References (10)

1. Breuer P., and Major P. Central limit theorems for non-linear functionals of Gaussian fields. J. Multivariate Anal. 13 (1983) 425-441
2. Corcuera J.M., Nualart D., and Woerner J.H.C. Power variation of some integral fractional processes. Bernoulli 12 (2006) 713-735
3. Hu Y., and Nualart D. Renormalized self-intersection local time for fractional Brownian motion. Ann. Probab. 33 (2005) 948-983
4. Itô K. Multiple Wiener integral. J. Math. Soc. Japan 3 (1951) 157-169
5. Nualart D. The Malliavin Calculus and Related Topics (2006), Springer-Verlag, Berlin
6. Nualart D., and Peccati G. Central limit theorems for sequences of multiple stochastic integrals. Ann. Probab. 33 (2005) 177-193
7. G. Peccati, M. Taqqu, Stable convergence of multiple Wiener-Itô integrals, 2006, Preprint
8. 2 theory, 2006, Preprint
9. Peccati G., and Tudor C. Gaussian limits for vector-valued multiple stochastic integrals. Séminaire de Probabilités XXXVIII. Lecture Notes in Math vol. 1857 (2005), Springer-Verlag, Berlin 247-262
10. J. Swanson, Variations of the solution to a stochastic heat equation, Preprint