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arXiv · 1903.05173

Limit theorems for singular Skorohod integrals

Denis Bell·Raul Bolanos·David Nualart
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Abstract

In this paper we prove the convergence in distribution of sequences of It\^o and Skorohod integrals with integrands having singular asymptotic behavior. These sequences include stochastic convolutions and generalize the example $\sqrt n\int _0^1 t^n B_tdB_t$ first studied by Peccati and Yor in 2004.

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Denis Bell, Raul Bolanos, David Nualart. 2019-03-12. Limit theorems for singular Skorohod integrals. https://arxiv.org/abs/1903.05173

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