کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156658 | 958854 | 2012 | 46 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes](/preview/png/1156658.png)
چکیده انگلیسی
For a Gaussian process X and smooth function f, we consider a Stratonovich integral of f(X), defined as the weak limit, if it exists, of a sequence of Riemann sums. We give covariance conditions on X such that the sequence converges in law. This gives a change-of-variable formula in law with a correction term which is an Itô integral of fⴠwith respect to a Gaussian martingale independent of X. The proof uses Malliavin calculus and a central limit theorem from Nourdin and Nualart (2010) [8]. This formula was known for fBm with H=1/6 Nourdin et al. (2010) [9]. We extend this to a larger class of Gaussian processes.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 122, Issue 10, October 2012, Pages 3460-3505
Journal: Stochastic Processes and their Applications - Volume 122, Issue 10, October 2012, Pages 3460-3505
نویسندگان
Daniel Harnett, David Nualart,