Functional asymptotic behavior of some random multilinear forms

DOI10.1016/S0304-4149(97)00017-3MaRDI QIDQ1382549zbMATH OpenFDO

Authors Benoît Cadre

Publication date 29 March 1998

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

Full work available at URL https://doi.org/10.1016/S0304-4149(97)00017-3

zbMATH Keywords

martingalesmultilinear random formsstochastic integralsweak convergence

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Review text

For each \(n \geq 1, \) let \(\left (\chi _k^n\right )_{k\geq 0}\) be a real-valued sequence of martingale differences defined on a filtered space and \((a_{i_1,\dots ,i_d}^n)_{i_1,\dots ,i_d \geq 0} \) be a sequence of arrays with real coefficients. Let \[ S_n = \left (\sum _{i_1,\dots ,i_d = 1}^{[nt]} a_{i_1,\dots ,i_d}^n \chi _{i_1}^n\dots \chi _{i_d}^n\right )_{t\leq 1} \] denote a multilinear form in random variables \(\chi _k^n\). Asymptotic distribution of \(S_n\) is established; the proving method is based on asymptotic representation of \(S_n\) by means of iterated stochastic integrals.

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Cited in

(5)

• Random multilinear forms
• Hypercontraction principle and random multilinear forms
• Multilinear forms in Pareto-like random variables and product random measures
• scientific article; zbMATH DE number 123367 (Why is no real title available?)
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