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

DOI10.1016/J.SPA.2012.06.008MaRDI QIDQ449231zbMATHOpenAlexFDO

Authors Daniel Harnett, David Nualart

Publication date 12 September 2012

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

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

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)

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.

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Cited in

(15)

• An approximation to the subfractional Brownian sheet using martingale differences
• Quantitative stable limit theorems on the Wiener space
• Weak symmetric integrals with respect to the fractional Brownian motion
• Asymptotic expansion of Skorohod integrals
• Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation
• On Simpson's rule and fractional Brownian motion with \(H = 1/10\)
• scientific article; zbMATH DE number 3872399 (Why is no real title available?)
• Discrete rough paths and limit theorems
• Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes
• Central limit theorem for a Stratonovich integral with Malliavin calculus
• Random walks and subfractional Brownian motion
• Application of operational matrices for solving system of linear Stratonovich Volterra integral equation
• Solving system of linear Stratonovich Volterra integral equations via modification of hat functions
• An approximation of subfractional Brownian motion
• Convergence of trapezoid rule to rough integrals

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