Approximation of the finite dimensional distributions of multiple fractional integrals

DOI10.1016/J.JMAA.2010.04.009MaRDI QIDQ984723zbMATH OpenOpenAlexFDO

Authors Xavier Bardina, K. Es-Sebaiy, Ciprian A. Tudor

Publication date 20 July 2010

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0911.3223

zbMATH Keywords

fractional Brownian motionlimit theoremsmultiple stochastic integralsweak convergence

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) White noise theory (60H40)

Abstract: We construct a family $I_{n_{eps}}(f{)}_t$ of continuous stochastic processes that converges in the sense of finite dimensional distributions to a multiple Wiener-It^o integral $I_n^H(f{1}_{[0,t]}^{otimesn})$ with respect to the fractional Brownian motion. We assume that $H>1/2$ and we prove our approximation result for the integrands $f$ in a rather general class.

Review text

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 \(\Gamma^n_H\).

Recommendations

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Cites work

• A stochastic model related to the telegrapher's equation
• Convergence in law to the multiple fractional integral.
• Lectures on topics in stochastic differential equations
• Multiple stochastic fractional integrals: A transfer principle for multiple stochastic fractional integrals
• On the convergence to the multiple Wiener-Itô integral
• The Malliavin Calculus and Related Topics
• Weak approximation of a fractional SDE
• Weak convergence of the variations, iterated integrals and Doléans-Dade exponentials of sequences of semimartingales
• Weak convergence to the multiple Stratonovich integral.

Cited in

(13)

• Ordinary and fractional approximation by non-additive integrals: Choquet, Shilkret and Sugeno integral approximators
• Approximating the Rosenblatt process by multiple Wiener integrals
• Convergence in law to the multiple fractional integral.
• Central limit theorem for an iterated integral with respect to fBm with \(H>1/2\)
• scientific article; zbMATH DE number 5299600 (Why is no real title available?)
• Approximating multiple itô integrals with "band limited" processes
• On the convergence to the multiple subfractional Wiener-Itō integral
• A fractional Donsker theorem
• Multiple sub-fractional integrals and some approximations
• Convergence rate of an approximation to multiple integral of FBM
• Fractional Integrals of Distributions
• Distributions of quadratic functionals of the fractional Brownian motion based on a martingale approximation
• Empirical limit theorems for Wiener chaos

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