A central limit theorem for some generalized martingale arrays

DOI10.1214/23-ECP534zbMath1521.60014OpenAlexW4384786019WikidataQ123337208 ScholiaQ123337208MaRDI QIDQ6138088

Luca Pratelli, Pietro Rigo

Publication date: 5 September 2023

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/electronic-communications-in-probability/volume-28/issue-none/A-central-limit-theorem-for-some-generalized-martingale-arrays/10.1214/23-ECP534.full

zbMATH Keywords

martingalestable convergencecentral limit theorem (CLT)Riemann sumapproximation of stochastic integrals

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Brownian motion (60J65) Stochastic integrals (60H05) Convergence of probability measures (60B10)

Cites Work

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• Milstein's type schemes for fractional SDEs
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• Total variation bounds for Gaussian functionals
• Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion
• Rate of convergence for the weighted Hermite variations of the fractional Brownian motion
• Stein's method for normal approximation in Wasserstein distances with application to the multivariate central limit theorem
• Power variation and stochastic volatility: a review and some new results
• A Strong Form of Stable Convergence

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