Related papers: Limit theorems for singular Skorohod integrals

In this work we prove an asymptotic result, that under some conditions on the involved distribution functions, is valid for any Oppenheim expansion, extending a classical result proven by W. Vervaat in 1972 for denominators of the Luroth…

We introduce a Skorokhod type integral and prove an Ito formula for a wide class of Gaussian processes which may exhibit stochastic discontinuities. Our Ito formula unifies and extends the classical one for general (i.e., possibly…

Asymptotic expansion of a variation with anticipative weights is derived by the theory of asymptotic expansion for Skorohod integrals having a mixed normal limit. The expansion formula is expressed with the quasi-torsion, quasi-tangent and…

In this paper we prove a criterion of convergence in distribution in Skorokhod space. We apply this criterion to some special Levy processes and obtain almost-sure versions of limit theorems for these processes.

We investigate a functional obtained by summing the squared differences of the integral of an Ito process over disjoint intervals. The limit of this sum is shown to converge in probability to two thirds the quadratic variation of the…

We prove joint functional limit theorems in the Skorokhod space equipped with the $J_1$-topology for successive Lebesgue-Stieltjes convolutions of nondecreasing stochastic processes with themselves. These convolutions arise naturally in…

This work is devoted to study of a class of elliptic singular perturbed systems and their singular limit to a phase segregating system. We prove existence and uniqueness and study the asymptotic behaviour with convergence to a limiting…

In this manuscript, we determine the optimal approximation rate for Skorohod integrals of sufficiently regular integrands. This generalizes the optimal approximation results for It\^o integrals. However, without adaptedness and the It\^o…

In this note we provide a quick proof that maximal truncations of oscillatory singular integrals are bounded from $L^1(\mathbb{R})$ to $L^{1,\infty}(\mathbb{R})$. The methods we use are entirely elementary, and rely only on pigeonholing and…

The "typical" asymptotic behavior of the weighted sums of independent random vectors in $k$-dimensional space is considered. It is shown that in this case the rate of convergence in the multivariate central limit theorem is of order…

We study the asymptotic properties of an estimator of Hurst parameter of a stochastic differential equation driven by a fractional Brownian motion with $H > 1/2$. Utilizing the theory of asymptotic expansion of Skorohod integrals introduced…

In this article, we prove a new functional limit theorem for the partial sum sequence $S_{[nt]}=\sum_{i=1}^{[nt]}X_i$ corresponding to a linear sequence of the form $X_i=\sum_{j \in \bZ}c_j \xi_{i-j}$ with i.i.d. innovations $(\xi_i)_{i \in…

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…

For sequences of non-lattice weakly dependent random variables, we obtain asymptotic expansions for Large Deviation Principles. These expansions, commonly referred to as strong large deviation results, are in the spirit of Edgeworth…

If $(T_t)$ is a semigroup of Markov operators on an $L^1$-space that admits a non-trivial lower bound, then a well-known theorem of Lasota and Yorke asserts that the semigroup is strongly convergent as $t \to \infty$. In this article we…

The intent of this paper is to describe the large scale asymptotic geometry of iteration stable (STIT) tessellations in $\mathbb{R}^d$, which form a rather new, rich and flexible class of random tessellations considered in stochastic…

We study the asymptotic behavior of the $\nu$-symmetric Riemman sums for functionals of a self-similar centered Gaussian process $X$ with increment exponent $0<\alpha<1$. We prove that, under mild assumptions on the covariance of $X$, the…

We study the asymptotic behavior for singular solutions to a critical fourth order system generalizing the constant $Q$-curvature equation. Our main result extends to the case of strongly coupled systems, the celebrated asymptotic…

We solve the Skorokhod embedding problem for a class of stochastic processes satisfying an inhomogeneous stochastic differential equation (SDE) of the form $d A_t =\mu (t, A_t) d t + \sigma(t, A_t) d W_t$. We provide sufficient conditions…

In this paper we consider the Skorokhod embedding problem for target distributions with non-zero mean. In the zero-mean case, uniform integrability provides a natural restriction on the class of embeddings, but this is no longer suitable…