Limit theorems for singular Skorohod integrals

DOI10.1090/TPMS/1126MaRDI QIDQ4989956zbMATH OpenOpenAlexWikidataFDO

Authors Raul Bolaños, David Nualart, Denis R. Bell

Publication date 27 May 2021

Published in Theory of Probability and Mathematical Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1903.05173

zbMATH Keywords

convergence in lawMalliavin calculusSkorohod integralstochastic convolution

Mathematics Subject Classification ID

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

Abstract: In this paper we prove the convergence in distribution of sequences of It^o and Skorohod integrals with integrands having singular asymptotic behavior. These sequences include stochastic convolutions and generalize the example $sqrtnin{t}_0^1{t}^n{B}_{t}d{B}_t$ first studied by Peccati and Yor in 2004.

Recommendations

• The limit distribution of a singular sequence of Itô integrals
• A limit theorem for singular stochastic differential equations
• A class of limit theorems for singular diffusions
• scientific article; zbMATH DE number 3479921
• scientific article; zbMATH DE number 2169702
• scientific article; zbMATH DE number 4105987
• Integral analogues of almost sure limit theorems
• Limit theorems for multiple stochastic integrals
• Singular limits for stochastic equations

Cites work

• Central limit theorems for multiple Skorokhod integrals
• Convergence in total variation on Wiener chaos
• Convergence in total variation to a mixture of Gaussian laws
• scientific article; zbMATH DE number 4034749 (Why is no real title available?)
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 2152200 (Why is no real title available?)
• scientific article; zbMATH DE number 5070512 (Why is no real title available?)
• Measure and integral. An introduction to real analysis
• Quantitative stable limit theorems on the Wiener space
• Stable convergence of multiple Wiener--Itô integrals
• Stochastic Equations in Infinite Dimensions
• The Malliavin Calculus and Related Topics
• Total variation bounds for Gaussian functionals

Cited in

(4)

• Exponential tightness of a family of Skorohod integrals
• The limit distribution of a singular sequence of Itô integrals
• Pathwise large deviations for white noise chaos expansions
• scientific article; zbMATH DE number 7379432 (Why is no real title available?)

This page was built for publication: Limit theorems for singular Skorohod integrals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4989956)