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arXiv · 0707.3448

Central limit theorems for multiple Skorohod integrals

Ivan Nourdin·David Nualart
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Abstract

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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Ivan Nourdin, David Nualart. 2009-09-03. Central limit theorems for multiple Skorohod integrals. https://arxiv.org/abs/0707.3448

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