Convergence en loi de Dirichlet de certaines intégrales stochastiques.

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.

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Year of publication:	2005-04
Authors:	Chorro, Christophe
Institutions:	Maison des Sciences Économiques, Université Paris 1 (Panthéon-Sorbonne)
Subject:	Invariance principle \| stochastic integrals \| Dirichlet forms \| squared field operator \| vectorial domain \| errors

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Extent:	application/pdf
Series:	Cahiers de la Maison des Sciences Economiques. - ISSN 1624-0340.
Type of publication:	Book / Working Paper
Language:	English
Notes:	22 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005220177