English

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 ν\nu-symmetric Riemman sums for functionals of a self-similar centered Gaussian process XX with increment exponent 0<α<10<\alpha<1. We prove that, under mild assumptions on the covariance of XX, the law of the weak ν\nu-symmetric Riemman sums converge in the Skorohod topology when α=(2+1)1\alpha=(2\ell+1)^{-1}, where \ell denotes the smallest positive integer satisfying 01x2jν(dx)=(2j+1)1\int_{0}^{1}x^{2j}\nu(dx)=(2j+1)^{-1} for all j=0,,1j=0,\dots, \ell-1. In the case α>(2+1)1\alpha>(2\ell+1)^{-1}, 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}
}