| Central limit theorems for multiple Skorohod integrals (2008) | |||||||||||||
Abstract | |||||||||||||
| In this paper, we prove a central limit theorem for a sequence of iterated Shorohod integrals using the techniques of Malliavin calculus. The convergence is stable, and the limit is a conditionally Gaussian random variable. Some applications to sequences of multiple stochastic integrals, and renormalized weighted quadratic variation of the fractional Brownian motion are discussed. | |||||||||||||
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