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

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).

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Year of publication:	2007
Authors:	Jolis, Maria ; Viles, Noèlia
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 117.2007, 9, p. 1189-1207
Publisher:	Elsevier
Keywords:	Convergence in law Fractional Brownian motion Ito-type multiple integral Stratonovich-type multiple integral

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10008875515