Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1157050 | Stochastic Processes and their Applications | 2007 | 19 Pages |
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).
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Maria Jolis, Noèlia Viles,