Central limit theorems for sequences of multiple stochastic integrals
Probability
2007-05-23 v1
Abstract
We characterize the convergence in distribution to a standard normal law for a sequence of multiple stochastic integrals of a fixed order with variance converging to 1. Some applications are given, in particular to study the limiting behavior of quadratic functionals of Gaussian processes.
Cite
@article{arxiv.math/0503598,
title = {Central limit theorems for sequences of multiple stochastic integrals},
author = {David Nualart and Giovanni Peccati},
journal= {arXiv preprint arXiv:math/0503598},
year = {2007}
}
Comments
Published at http://dx.doi.org/10.1214/009117904000000621 in the Annals of Probability (http://www.imstat.org/aop/) by the Institute of Mathematical Statistics (http://www.imstat.org)