Article ID Journal Published Year Pages File Type
1154265 Statistics & Probability Letters 2006 10 Pages PDF
Abstract

The convergence in variation of the laws of multiple Wiener–Itô integrals with respect to their kernel has been studied by Davydov and Martynova in [1987. Limit behavior of multiple stochastic integral. Statistics and Control of Random Process (Preila, 1987), Nauka, Moscow, pp. 55–57 (in Russian)]. Here, we generalize this convergence for the joint laws of multiple Wiener–Itô integrals. In this case, the argument relies on superstructure method which consists in studying related functionals along admissible directions for a Gaussian process.

Keywords
Related Topics
Physical Sciences and Engineering Mathematics Statistics and Probability
Authors
,