Continuity with respect to the Hurst parameter of the laws of the multiple fractional integrals (Q2642031): Difference between revisions

It is well known that for the fractional Brownian motion \(B^H\) with Hurst parameter \(H\in (0,1)\) the corresponding laws on \(C([0,T])\) converge weakly to \(B^{H_0}\) whenever \(H\) tends to \(H_0\in (0,1)\). In this work the authors prove the analogue convergence for the laws of the corresponding Itô and Stratonovich multiple integrals \(I_n^H(f)\), where \(H_0\in [1/2, 1)\) and \(H>1/2\), by considering \(I^H_n\) as functional acting on the class of deterministic symmetric and essentially bounded functions \(f\). The proof relies mainly on chaos expansion and tightness arguments.