A central limit theorem for some generalized martingale arrays

DOI10.1214/23-ECP534zbMATH Open1521.60014OpenAlexW4384786019WikidataQ123337208 ScholiaQ123337208MaRDI QIDQ6138088FDOQ6138088

Authors: Luca Pratelli, Pietro Rigo 

Publication date: 5 September 2023

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/journals/electronic-communications-in-probability/volume-28/issue-none/A-central-limit-theorem-for-some-generalized-martingale-arrays/10.1214/23-ECP534.full

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zbMATH Keywords

martingalestable convergencecentral limit theorem (CLT)Riemann sumapproximation of stochastic integrals

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Central limit and other weak theorems (60F05) Brownian motion (60J65) Stochastic integrals (60H05)

Cites Work

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• Power variation and stochastic volatility: a review and some new results
• Weighted power variations of iterated Brownian motion
• Quantitative stable limit theorems on the Wiener space
• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• Limit distributions for the error in approximations of stochastic integrals
• Milstein's type schemes for fractional SDEs
• A simple theory for the study of SDEs driven by a fractional Brownian motion, in dimension one
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• Stein's method for normal approximation in Wasserstein distances with application to the multivariate central limit theorem
• Rate of convergence for the weighted Hermite variations of the fractional Brownian motion
• Asymptotic error distribution for the Riemann approximation of integrals driven by fractional Brownian motion
• Convergence in total variation to a mixture of Gaussian laws
• Total variation bounds for Gaussian functionals

Cited In (6)

• On conditions in central limit theorems for martingale difference arrays
• Title not available (Why is that?)
• On the Wasserstein distance for a martingale central limit theorem
• Title not available (Why is that?)
• Title not available (Why is that?)
• Martingale difference arrays and stochastic integrals

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