Central limit theorems for multiple stochastic integrals and Malliavin calculus

Details Central limit theorems for multiple stochastic integrals and Malliavin calculus Central limit theorems for multiple stochastic integrals and Malliavin calculus

2007-03-08

arxiv.org/abs/math/0703240v2

Mathematics

Probability

16 pages

Scientific paper

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.

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