Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1154265 | Statistics & Probability Letters | 2006 | 10 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Jean-Christophe Breton,