Convergence in variation of the joint laws of multiple Wiener-Itô integrals

Jean-Christophe Breton

Statistics & Probability Letters, 2006, vol. 76, issue 17, 1904-1913

Abstract: The convergence in variation of the laws of multiple Wiener-Itô integrals with respect to their kernel has been studied by Davydov and Martynova in [1987. Limit behavior of multiple stochastic integral. Statistics and Control of Random Process (Preila, 1987), Nauka, Moscow, pp. 55-57 (in Russian)]. Here, we generalize this convergence for the joint laws of multiple Wiener-Itô integrals. In this case, the argument relies on superstructure method which consists in studying related functionals along admissible directions for a Gaussian process.

Keywords: Convergence; in; variation; Superstructure; method; Wiener-Ito; integrals (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (1)

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