Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes (Q2312765): Difference between revisions

Let \(X:=\{X_t\}_{t\geq 0}\) (\(X_0=0\)) be a centered self-similar Gaussian process with exponent \(0<\beta<1\), namely \(X\) is a centered Gaussian process such that \(\{c^{-\beta}X_{ct})_{t\geq 0}\) has the same law as \(X\) for all \(c>0\). Consider the \(\nu\)-symmetric Riemann sums defined by \[ S^\nu_n(g,t) = \sum_{j=0}^{\lfloor nt\rfloor -1}\int_0^1 g\left(X_{j/n}+y\Delta X_{j/n}\right)\Delta X_{j/n} \nu(\operatorname{d}y), \] where \(\Delta X_{j/n}=X_{(j+1)/n}-X_{j/n}\), \(g:\mathbb{R}\to \mathbb{R}\) is sufficiently smooth and \(\nu\) is a symmetric probability measure on \([0,1]\). The authors study the asymptotic behavior of \(S^\nu_n(g,t)\) for functionals of \(X\) with increment exponent \(0 < \alpha < 1\). They prove that, under mild assumptions on the covariance of \(X\), the law of the weak \(\nu\)-symmetric Riemann sums converge in the Skorohod topology when \(\alpha = (2\ell+1)^{-1}\), where \(\ell\) denotes the largest positive integer satisfying \(\int_0^1 x^{2j}\nu(\operatorname{d}x)=(2j+1)^{-1}\) for all \(j=0,\dots,\ell-1\). In the case \(\alpha > (2\ell + 1)^{-1}\) they also prove convergence in probability. The results apply to the fractional, bifractional and subfractional Brownian motions and other Gaussian processes.