Limit theorems for singular Skorohod integrals

2019/03/12 by Denis Bell, Bell, Denis, Raul Bolanos +3
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1903.05173

arxiv created 2019/03/12 · arxiv updated 2019/03/14

Abstract

In this paper we prove the convergence in distribution of sequences of Itô and Skorohod integrals with integrands having singular asymptotic behavior. These sequences include stochastic convolutions and generalize the example √ n∫ ₀¹ tⁿ B_tdB_t first studied by Peccati and Yor in 2004.

Related

• Weak Convergence of Stochastic Integrals on Skorokhod Space in Skorokhod's J1 and M1 Topologies
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• Fatou limits of stochastic integrals
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