Convergence in variation of the joint laws of multiple Wiener-Itô integrals
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.
Year of publication: |
2006
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Authors: | Breton, Jean-Christophe |
Published in: |
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 76.2006, 17, p. 1904-1913
|
Publisher: |
Elsevier |
Keywords: | Convergence in variation Superstructure method Wiener-Ito integrals |
Saved in:
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