Central limit theorems for sequences of multiple stochastic integrals

Details Central limit theorems for sequences of multiple stochastic integrals Central limit theorems for sequences of multiple stochastic integrals

2005-03-25

arxiv.org/abs/math/0503598v1

Annals of Probability 2005, Vol. 33, No. 1, 177-193

Mathematics

Probability

Published at http://dx.doi.org/10.1214/009117904000000621 in the Annals of Probability (http://www.imstat.org/aop/) by the Ins

Scientific paper

10.1214/009117904000000621

We characterize the convergence in distribution to a standard normal law for
a sequence of multiple stochastic integrals of a fixed order with variance
converging to 1. Some applications are given, in particular to study the
limiting behavior of quadratic functionals of Gaussian processes.

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