Central limit theorems for multiple Skorohod integrals

Details Central limit theorems for multiple Skorohod integrals Central limit theorems for multiple Skorohod integrals

2007-07-23

arxiv.org/abs/0707.3448v5

Mathematics

Probability

32 pages; major changes in Sections 4 and 5

Scientific paper

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 Hermite variations of the fractional Brownian motion are discussed.

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