Central limit theorems for multiple Skorohod integrals
Probability
2009-09-03 v5
Abstract
In this paper, we prove a central limit theorem for a sequence of iterated Shorohod integrals using the techniques of Malliavin calculus. The convergence is stable, and the limit is a conditionally Gaussian random variable. Some applications to sequences of multiple stochastic integrals, and renormalized weighted Hermite variations of the fractional Brownian motion are discussed.
Keywords
Cite
@article{arxiv.0707.3448,
title = {Central limit theorems for multiple Skorohod integrals},
author = {Ivan Nourdin and David Nualart},
journal= {arXiv preprint arXiv:0707.3448},
year = {2009}
}
Comments
32 pages; major changes in Sections 4 and 5