Central limit theorem for a Stratonovich integral with Malliavin calculus

DOI10.1214/12-AOP769zbMath1285.60050arXiv1105.4841MaRDI QIDQ359692

David Nualart, Daniel Harnett

Publication date: 22 August 2013

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.4841

zbMATH Keywords

Malliavin calculuscentral limit theoremSkorokhod integralbifractional Brownian motionItō formulaiterated integral

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Sample path properties (60G17) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (10)

Approximation solution of nonlinear Stratonovich Volterra integral equations by applying modification of hat functions ⋮ Quantitative stable limit theorems on the Wiener space ⋮ Weak symmetric integrals with respect to the fractional Brownian motion ⋮ On Simpson's rule and fractional Brownian motion with \(H = 1/10\) ⋮ Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes ⋮ Discrete rough paths and limit theorems ⋮ Central limit theorem for functionals of a generalized self-similar Gaussian process ⋮ Asymptotic expansion of Skorohod integrals ⋮ Stable limit theorems on the Poisson space ⋮ Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes

Cites Work

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• Fluctuations of the empirical quantiles of independent Brownian motions
• The weak stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6
• Central limit theorems for multiple Skorokhod integrals
• Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
• A decomposition of the bifractional Brownian motion and some applications
• A change of variable formula with Itô correction term
• Weak convergence of the scaled median of independent Brownian motions
• Variations of the solution to a stochastic heat equation
• The Malliavin Calculus and Related Topics

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