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
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Weak convergence of the Stratonovich integral with respect to a class of Gaussian processes
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 f‴ with 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
نویسندگان
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