Convergence en loi de Dirichlet de certaines intégrales stochastiques

Christophe Chorro ()
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Christophe Chorro: CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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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: errors; vectorial domain; squared field operator; Dirichlet forms; stochastic integrals; Invariance principle; Principe d'invariance; opérateur carré du champ; domaine vectoriel; formes de Dirichlet; intégrales stochastiques; erreurs (search for similar items in EconPapers)
Date: 2005-04
Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00194673
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Published in 2005

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