Article ID Journal Published Year Pages File Type
1157050 Stochastic Processes and their Applications 2007 19 Pages PDF
Abstract

We prove the weak convergence in C([0,T])C([0,T]) of the laws of the Itô and Stratonovich multiple integrals of some classes of deterministic functions with respect to the fractional Brownian motion, BHBH, with Hurst parameter H>1/2H>1/2, to the law of the corresponding multiple integral with respect to BH0BH0, when HH tends to H0∈[1/2,1)H0∈[1/2,1).

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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