On the convergence to the multiple Wiener-Itô integral

DOI10.1016/J.BULSCI.2008.09.002MaRDI QIDQ1017650zbMATH OpenOpenAlexFDO

Authors Xavier Bardina, Maria Jolis, Ciprian A. Tudor

Publication date 12 May 2009

Published in Bulletin des Sciences Mathématiques (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0712.3837

zbMATH Keywords

weak convergenceDonsker theoremmultiple Wiener-Itô integrals

Mathematics Subject Classification ID

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

Abstract: We study the convergence to the multiple Wiener-It^{o} integral from processes with absolutely continuous paths. More precisely, consider a family of processes, with paths in the Cameron-Martin space, that converges weakly to a standard Brownian motion in $mathcal{C}_0([0,T])$. Using these processes, we construct a family that converges weakly, in the sense of the finite dimensional distributions, to the multiple Wiener-It^{o} integral process of a function $fin{L}^2([0,T{]}^n)$. We prove also the weak convergence in the space $mathcal{C}_0([0,T])$ to the second order integral for two important families of processes that converge to a standard Brownian motion.

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Cited in

(17)

• Generalization of the Nualart-Peccati criterion
• scientific article; zbMATH DE number 4122937 (Why is no real title available?)
• On the fourth moment theorem for complex multiple Wiener–Itô integrals
• Empirical limit theorems for Wiener chaos
• Stable convergence of multiple Wiener--Itô integrals
• Approximating multiple itô integrals with "band limited" processes
• Convergence in variation of the joint laws of multiple Wiener-Itô integrals
• Weak convergence to the multiple Stratonovich integral.
• Weak convergence to a class of multiple stochastic integrals
• Approximations of a complex Brownian motion by processes constructed from a Lévy process
• Approximation of the finite dimensional distributions of multiple fractional integrals
• On the convergence to the multiple subfractional Wiener-Itō integral
• Averaging principle for multiscale nonautonomous random 2D Navier-Stokes system
• scientific article; zbMATH DE number 4013672 (Why is no real title available?)
• Double Lusin condition and Vitali convergence theorem for the Itô-McShane integral
• scientific article; zbMATH DE number 850388 (Why is no real title available?)
• Multiple Wiener-Ito integrals possessing a continuous extension

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