Weak convergence to the multiple Stratonovich integral.

DOI10.1016/S0304-4149(00)00045-4zbMath1047.60048MaRDI QIDQ1879495

Maria Jolis, Xavier Bardina

Publication date: 22 September 2004

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

multimeasureDonsker approximationsmultiple Stratonovich integral

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (14)

Approximation solution of nonlinear Stratonovich Volterra integral equations by applying modification of hat functions ⋮ Continuity with respect to the Hurst parameter of the laws of the multiple fractional integrals ⋮ Unnamed Item ⋮ On the convergence to the multiple subfractional Wiener-Itō integral ⋮ On the strong convergence of multiple ordinary integrals to multiple Stratonovich integrals ⋮ Solving system of linear Stratonovich Volterra integral equations via modification of hat functions ⋮ Approximation of the finite dimensional distributions of multiple fractional integrals ⋮ A strong approximation for double subfractional integrals ⋮ A new approach to the series expansion of iterated Stratonovich stochastic integrals with respect to components of a multidimensional Wiener process. The case of arbitrary complete orthonormal systems in Hilbert space ⋮ On Double Stratonovich Fractional Integrals and Some Strong and Weak Approximations ⋮ On the convergence to the multiple Wiener-Itô integral ⋮ Convergence to SPDEs in Stratonovich form ⋮ \(n\)-covariation, generalized Dirichlet processes and calculus with respect to finite cubic variation processes. ⋮ Convergence in law to the multiple fractional integral.

Cites Work

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• Lectures on topics in stochastic differential equations
• Weak convergence of the variations, iterated integrals and Doléans-Dade exponentials of sequences of semimartingales
• Multiple Wiener-Ito integrals possessing a continuous extension
• Stratonovich integral and trace

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