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arxiv: 0707.3448 · v5 · submitted 2007-07-23 · 🧮 math.PR

Central limit theorems for multiple Skorohod integrals

classification 🧮 math.PR
keywords integralslimitcentralmultipleapplicationsbrowniancalculusconditionally
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In this paper, we prove a central limit theorem for a sequence of iterated Shorohod integrals using the techniques of Malliavin calculus. The convergence is stable, and the limit is a conditionally Gaussian random variable. Some applications to sequences of multiple stochastic integrals, and renormalized weighted Hermite variations of the fractional Brownian motion are discussed.

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