Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes

DOI10.1016/j.spa.2012.06.008zbMath1277.60098arXiv1109.3110OpenAlexW2044864039MaRDI QIDQ449231

David Nualart, Daniel Harnett

Publication date: 12 September 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.3110

zbMATH Keywords

fractional Brownian motionMalliavin calculusItō formulaSkorohod integral

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (13)

Quantitative stable limit theorems on the Wiener space ⋮ Weak symmetric integrals with respect to the fractional Brownian motion ⋮ Application of operational matrices for solving system of linear Stratonovich Volterra integral equation ⋮ Convergence of trapezoid rule to rough integrals ⋮ On Simpson's rule and fractional Brownian motion with \(H = 1/10\) ⋮ Discrete rough paths and limit theorems ⋮ Solving system of linear Stratonovich Volterra integral equations via modification of hat functions ⋮ An Approximation of Subfractional Brownian Motion ⋮ An approximation to the subfractional Brownian sheet using martingale differences ⋮ Asymptotic expansion of Skorohod integrals ⋮ Random walks and subfractional Brownian motion ⋮ Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes ⋮ Approximation of stochastic differential equations driven by subfractional Brownian motion at discrete time observation

Cites Work

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• Central limit theorem for a Stratonovich integral with Malliavin calculus
• Central limit theorems for multiple Skorokhod integrals
• A decomposition of the bifractional Brownian motion and some applications
• Sub-fractional Brownian motion and its relation to occupation times
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• \(m\)-order integrals and generalized Itô's formula; the case of a fractional Brownian motion with any Hurst index
• On bifractional Brownian motion
• An extension of bifractional Brownian motion
• The Malliavin Calculus and Related Topics

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