Limit theorems for nonlinear functionals of Volterra processes via white noise analysis
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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.
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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 white noise analysis of Volterra processes
- Asymptotic properties of the derivative of self-intersection local time of fractional Brownian motion
- A class of processes defined in the white noise space through generalized fractional operators
- 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
- On Stratonovich and Skorohod stochastic calculus for Gaussian processes
- Asymptotic properties for \(q\)-th chaotic component of derivative of self-intersection local time of fractional Brownian motion
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