Weak convergence to the multiple Stratonovich integral

Xavier Bardina and Maria Jolis

Stochastic Processes and their Applications, 2000, vol. 90, issue 2, 277-300

Abstract: We have considered the problem of the weak convergence, as [var epsilon] tends to zero, of the multiple integral processesin the space , where f[set membership, variant]L2([0,T]n) is a given function, and {[eta][var epsilon](t)}[var epsilon]>0 is a family of stochastic processes with absolutely continuous paths that converges weakly to the Brownian motion. In view of the known results when n[greater-or-equal, slanted]2 and f(t1,...,tn)=1{t1

Keywords: Weak; convergence; Multiple; Stratonovich; integral; Multimeasure; Donsker; approximations (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (6)

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