Approximation of the finite dimensional distributions of multiple fractional integrals

DOI10.1016/J.JMAA.2010.04.009zbMATH Open1201.60050arXiv0911.3223OpenAlexW2014569746MaRDI QIDQ984723FDOQ984723

Authors: Xavier Bardina, K. Es-Sebaiy, Ciprian A. Tudor 

Publication date: 20 July 2010

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: We construct a family $I_{n_{eps}}(f{)}_t$ of continuous stochastic processes that converges in the sense of finite dimensional distributions to a multiple Wiener-It^o integral $I_n^H(f{1}_{[0,t]}^{otimesn})$ with respect to the fractional Brownian motion. We assume that $H>1/2$ and we prove our approximation result for the integrands $f$ in a rather general class.

Full work available at URL: https://arxiv.org/abs/0911.3223

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zbMATH Keywords

weak convergencefractional Brownian motionmultiple stochastic integralslimit theorems

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) White noise theory (60H40)

Cites Work

• The Malliavin Calculus and Related Topics
• Weak convergence to the multiple Stratonovich integral.
• On the convergence to the multiple Wiener-Itô integral
• A stochastic model related to the telegrapher's equation
• Lectures on topics in stochastic differential equations
• Weak convergence of the variations, iterated integrals and Doléans-Dade exponentials of sequences of semimartingales
• Convergence in law to the multiple fractional integral.
• Multiple stochastic fractional integrals: A transfer principle for multiple stochastic fractional integrals
• Weak approximation of a fractional SDE

Cited In (13)

• Multiple sub-fractional integrals and some approximations
• Convergence rate of an approximation to multiple integral of FBM
• Central limit theorem for an iterated integral with respect to fBm with \(H>1/2\)
• Ordinary and fractional approximation by non-additive integrals: Choquet, Shilkret and Sugeno integral approximators
• Fractional Integrals of Distributions
• Empirical limit theorems for Wiener chaos
• Approximating multiple itô integrals with "band limited" processes
• Convergence in law to the multiple fractional integral.
• Approximating the Rosenblatt process by multiple Wiener integrals
• On the convergence to the multiple subfractional Wiener-Itō integral
• Title not available (Why is that?)
• A fractional Donsker theorem
• Distributions of quadratic functionals of the fractional Brownian motion based on a martingale approximation

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