Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes

DOI10.1016/J.SPA.2012.06.008zbMATH Open1277.60098arXiv1109.3110OpenAlexW2044864039MaRDI QIDQ449231FDOQ449231

Authors: Daniel Harnett, David Nualart 

Publication date: 12 September 2012

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

Abstract: For a Gaussian process $X$ and smooth function $f$, we consider a Stratonovich integral of $f(X)$, defined as the weak limit, if it exists, of a sequence of Riemann sums. We give covariance conditions on $X$ such that the sequence converges in law. This gives a change-of-variable formula in law with a correction term which is an It^o integral of $$ with respect to a Gaussian martingale independent of $X$. The proof uses Malliavin calculus and a central limit theorem from [10]. This formula was known for fBm with $H=1/6$ [9]. We extend this to a larger class of Gaussian processes.

Full work available at URL: https://arxiv.org/abs/1109.3110

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zbMATH Keywords

Malliavin calculusfractional Brownian motionSkorohod integralItō formula

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

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Cited In (14)

• Quantitative stable limit theorems on the Wiener space
• Solving system of linear Stratonovich Volterra integral equations via modification of hat functions
• Application of operational matrices for solving system of linear Stratonovich Volterra integral equation
• An Approximation of Subfractional Brownian Motion
• Random walks and subfractional Brownian motion
• Convergence of trapezoid rule to rough integrals
• Weak symmetric integrals with respect to the fractional Brownian motion
• Title not available (Why is that?)
• Asymptotic expansion of Skorohod integrals
• On Simpson's rule and fractional Brownian motion with \(H = 1/10\)
• An approximation to the subfractional Brownian sheet using martingale differences
• Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation
• Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes
• Discrete rough paths and limit theorems

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