Approximation of the finite dimensional distributions of multiple fractional integrals (Q984723): Difference between revisions

The purpose of this work is to give an approximation result for the multiple Wiener-Itô integrals \(I^H_n(1^{\otimes n}_{[0,t]})\) with respect to the fractional Brownian motion \(B^H\). Taking advantage of the expression \(I^H_n(f1^{\otimes n}_{[0,t]})= I_n(\Gamma^n_H(1^{\times n}_{[0,t]})\) by means of usual multiple Wiener-Itô integrals \(I_n\) and a transfer operator \(\Gamma^n_H\), the authors establish indeed the convergence of the finite-dimensional distributions of a smoothed version of \(I_n(\Gamma^n_Hf1^{\otimes n}_{[0,t]})\) to those of \(I_n(\Gamma^n_Hf1^{\otimes n}_{[i,t]})\). Several technical lemmas are necessary, due to the rather complicate expression of the transfer operator \(\Gamma^n_H\).