Convergence en loi de Dirichlet de certaines intégrales stochastiques

Christophe Chorro ()
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Christophe Chorro: CERMSEM

Cahiers de la Maison des Sciences Economiques from Université Panthéon-Sorbonne (Paris 1)

Abstract: Recently, Nicolas Bouleau has proposed an extension of the Donsker's invariance principle in the framework of Dirichlet forms. He proves that an erroneous random walk of i.i.d random variables converges in Dirichlet law toward the Ornstein-Uhlenbeck error structure on the Wiener space [4]. The aim of this paper is to extend this result to some families of stochastic integrals

Keywords: Invariance principle; stochastic integrals; Dirichlet forms; squared field operator; vectorial domain; errors (search for similar items in EconPapers)
Pages: 22 pages
Date: 2005-04
New Economics Papers: this item is included in nep-ecm
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