Central limit theorems for multiple Skorohod integrals

Mathematics – Probability

Scientific paper

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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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