Central limit theorems for multiple stochastic integrals and Malliavin calculus
概率论
2007-05-23 v2
摘要
We give a new characterization for the convergence in distribution to a standard normal law of a sequence of multiple stochastic integrals of a fixed order with variance one, in terms of the Malliavin derivatives of the sequence. We extend our result to the multidimensional case and prove a weak convergence result for a sequence of square integrable random variables.
引用
@article{arxiv.math/0703240,
title = {Central limit theorems for multiple stochastic integrals and Malliavin calculus},
author = {David Nualart and Salvador Ortiz},
journal= {arXiv preprint arXiv:math/0703240},
year = {2007}
}
备注
16 pages