Approximation of the finite dimensional distributions of multiple fractional integrals

DOI10.1016/j.jmaa.2010.04.009zbMath1201.60050arXiv0911.3223OpenAlexW2014569746MaRDI QIDQ984723

Ciprian A. Tudor, Khalifa Es-Sebaiy, Xavier Bardina

Publication date: 20 July 2010

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

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

zbMATH Keywords

weak convergencefractional Brownian motionlimit theoremsmultiple stochastic integrals

Mathematics Subject Classification ID

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

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On the convergence to the multiple subfractional Wiener-Itō integral

Cites Work

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