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

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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