Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes
Probability
2017-06-14 v1
Abstract
We study the asymptotic behavior of the -symmetric Riemman sums for functionals of a self-similar centered Gaussian process with increment exponent . We prove that, under mild assumptions on the covariance of , the law of the weak -symmetric Riemman sums converge in the Skorohod topology when , where denotes the smallest positive integer satisfying for all . In the case , we prove that the convergence holds in probability.
Keywords
Cite
@article{arxiv.1706.03890,
title = {Symmetric stochastic integrals with respect to a class of self-similar Gaussian processes},
author = {Daniel Harnett and Arturo Jaramillo and David Nualart},
journal= {arXiv preprint arXiv:1706.03890},
year = {2017}
}