2009-04-01, English, Article, Report edition: On the convergence to the multiple Wiener-Ito integral.(Report) Bardina, Xavier; Jolis, Maria; Tudor, Ciprian A.

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Physical Description
  • Report
  • Magazine/​Journal article
Published
  • Elsevier B.V., 2009 April
Language
  • English

Edition details

Title
  • On the convergence to the multiple Wiener-Ito integral.(Report)
Also Titled
  • On the convergence to the multiple Wiener-Ito integral.
Appears In
  • Bulletin des sciences mathematiques, v.133, no.3, 2009 April, p.257(15) (ISSN: 0007-4497)
Author
  • Bardina, Xavier
  • Jolis, Maria
  • Tudor, Ciprian A.
Published
  • Elsevier B.V., 2009 April
Physical Description
  • Report
  • Magazine/​Journal article
Subjects
Target Audience
  • Academic
Summary
  • To link to full-text access for this article, visit this link: http:/​/​dx.doi.org/​10.1016/​j.bulsci.2008.09.002 Byline: Xavier Bardina (a), Maria Jolis (a), Ciprian A. Tudor (b) Keywords: Multiple Wiener-Ito integrals; Weak convergence; Donsker theorem Abstract: We study the convergence to the multiple Wiener-Ito integral from processes with absolutely continuous paths. More precisely, consider a family of processes, with paths in the Cameron-Martin space, that converges weakly to a standard Brownian motion in C.sub.0([0,T]). Using these processes, we construct a family that converges weakly, in the sense of the finite dimensional distributions, to the multiple Wiener-Ito integral process of a function f[member of]L.sup.2([0,T].sup.n). We prove also the weak convergence in the space C.sub.0([0,T]) to the second-order integral for two important families of processes that converge to a standard Brownian motion. Author Affiliation: (a) Departament de Matematiques, Universitat Autonoma de Barcelona, 08193-Bellaterra (Barcelona), Spain (b) SAMOS/MATISSE, Centre d'Economie de La Sorbonne, Universite de Pantheon-Sorbonne Paris 1, 90, rue de Tolbiac, 75634 Paris Cedex 13, France Article History: Received 20 August 2008
Terms of Use
  • COPYRIGHT 2009 Elsevier B.V.
Language
  • English
Database
  • Gale Academic OneFile
Identifier
  • 350509508

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