Continuity with respect to the Hurst parameter of the laws of the multiple fractional integrals

Maria Jolis and Noèlia Viles

Stochastic Processes and their Applications, 2007, vol. 117, issue 9, 1189-1207

Abstract: We prove the weak convergence in of the laws of the Itô and Stratonovich multiple integrals of some classes of deterministic functions with respect to the fractional Brownian motion, BH, with Hurst parameter H>1/2, to the law of the corresponding multiple integral with respect to BH0, when H tends to H0[set membership, variant][1/2,1).

Keywords: Convergence; in; law; Fractional; Brownian; motion; Ito-type; multiple; integral; Stratonovich-type; multiple; integral (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (6)

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