Limit theorems for nonlinear functionals of Volterra processes via white noise analysis

DOI10.3150/10-BEJ258zbMATH Open1225.60041arXiv0904.1401OpenAlexW3100439993MaRDI QIDQ627302FDOQ627302

Authors: Sébastien Darses, Ivan Nourdin, David Nualart 

Publication date: 28 February 2011

Published in: Bernoulli (Search for Journal in Brave)

Abstract: By means of white noise analysis, we prove some limit theorems for nonlinear functionals of a given Volterra process. In particular, our results apply to fractional Brownian motion (fBm) and should be compared with the classical convergence results of the 1980s due to Breuer, Dobrushin, Giraitis, Major, Surgailis and Taqqu, as well as the recent advances concerning the construction of a L'{e}vy area for fBm due to Coutin, Qian and Unterberger.

Full work available at URL: https://arxiv.org/abs/0904.1401

Recommendations

• A white noise analysis of Volterra processes
• Functional limit theorems for multiparameter fractional Brownian motion
• scientific article; zbMATH DE number 1803221
• Multivariate central limit theorems for averages of fractional Volterra processes and applications to parameter estimation
• On stochastic integration for volatility modulated Brownian-driven Volterra processes via white noise analysis

zbMATH Keywords

fractional Brownian motionlimit theoremsVolterra processeswhite noise analysisWiener-Itô chaos

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10) General second-order stochastic processes (60G12) Self-similar stochastic processes (60G18)

Cites Work

• The Malliavin Calculus and Related Topics
• Weak convergence to fractional brownian motion and to the rosenblatt process
• Convergence of integrated processes of arbitrary Hermite rank
• Central limit theorems for non-linear functionals of Gaussian fields
• White noise calculus and Fock space
• Central limit theorems for sequences of multiple stochastic integrals
• CLT and other limit theorems for functionals of Gaussian processes
• Non-central limit theorems for non-linear functional of Gaussian fields
• Title not available (Why is that?)
• Stochastic analysis of the fractional Brownian motion
• Title not available (Why is that?)
• Central and non-central limit theorems for weighted power variations of fractional Brownian motion
• Stochastic analysis, rough path analysis and fractional Brownian motions.
• Elements of Stochastic Calculus via Regularization
• An introduction to white–noise theory and Malliavin calculus for fractional Brownian motion
• An \(S\)-transform approach to integration with respect to a fractional Brownian motion
• A change of variable formula for the 2D fractional Brownian motion of Hurst index bigger or equal to 1/4
• Title not available (Why is that?)
• CLT for \(L^p\) moduli of continuity of Gaussian processes

Cited In (11)

• Hölder-continuous rough paths by Fourier normal ordering
• Continuous Breuer-Major theorem for vector valued fields
• The rough path associated to the multidimensional analytic fBm with any Hurst parameter
• Continuous Breuer-Major theorem: tightness and nonstationarity
• A class of processes defined in the white noise space through generalized fractional operators
• A white noise analysis of Volterra processes
• Asymptotic properties of the derivative of self-intersection local time of fractional Brownian motion
• Functional limit theorems for power series with rapid decay of moving averages of Hermite processes
• Central limit theorem for functionals of a generalized self-similar Gaussian process
• Asymptotic properties for \(q\)-th chaotic component of derivative of self-intersection local time of fractional Brownian motion
• On Stratonovich and Skorohod stochastic calculus for Gaussian processes

This page was built for publication: Limit theorems for nonlinear functionals of Volterra processes via white noise analysis

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q627302)