Convergence in law to the multiple fractional integral. (Q2574573)

Convergence in law in the space \(\mathcal C_0 ([0,1])\), as \(\varepsilon \to 0\), of the family of processes defined by the multiple integrals \[ I_{\eta _\varepsilon } (f)_t = \int _0^t \dots \int _0^t f(t_1,\dots ,t_n)\,d\eta _\varepsilon (t_1)\cdots d\eta _\varepsilon (t_n), \quad t\in [0,1], \] is studied where \(f\) is a deterministic function and \((\eta _\varepsilon )\) is a family of processes with absolutely continuous paths, converging in law to a fractional Brownian motion with Hurst parameter \(H>1/2\). If \(f\) is given by a multimeasure it is proven that the limit is a Stratonovich type multiple integral defined earlier by A. Dasgupta and G. Kallianpur. For two natural families of \(\eta _ \varepsilon \) the convergence in law is shown for any \(f\in L^2(\tilde \mu _n)\), where \(\tilde \mu _n\) is a measure on \([0,1]^n\).