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http://dx.doi.org/10.11568/kjm.2014.22.1.71

WEAK CONVERGENCE FOR MULTIPLE STOCHASTIC INTEGRALS IN SKOROHOD SPACE  

Kim, Yoon Tae (Department of Finance and Information Statistics Hallym University)
Publication Information
Korean Journal of Mathematics / v.22, no.1, 2014 , pp. 71-84 More about this Journal
Abstract
By using the multidimensional normal approximation of functionals of Gaussian fields, we prove that functionals of Gaussian fields, as functions of t, converge weakly to a standard Brownian motion. As an application, we consider the convergence of the Stratonovich-type Riemann sums, as a function of t, of fractional Brownian motion with Hurst parameter H = 1/4.
Keywords
Malliavin calculus; Multiple stochastic integrals; Central limit theorem; Skorohod space; Gaussian process; fractional Brownian motion;
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