On the convergence to the multiple Wiener-Itô integral

DOI10.1016/J.BULSCI.2008.09.002zbMATH Open1163.60022arXiv0712.3837OpenAlexW2028408565MaRDI QIDQ1017650FDOQ1017650

Authors: Xavier Bardina, Maria Jolis, Ciprian A. Tudor 

Publication date: 12 May 2009

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

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.

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

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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)

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Cited In (17)

• Generalization of the Nualart-Peccati criterion
• Title not available (Why is that?)
• On the fourth moment theorem for complex multiple Wiener–Itô integrals
• Empirical limit theorems for Wiener chaos
• Approximating multiple itô integrals with "band limited" processes
• Stable convergence of multiple Wiener--Itô integrals
• 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
• Title not available (Why is that?)
• Double Lusin condition and Vitali convergence theorem for the Itô-McShane integral
• Title not available (Why is that?)
• Multiple Wiener-Ito integrals possessing a continuous extension

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