Central limit theorems for sequences of multiple stochastic integrals
Nualart, David ; Peccati, Giovanni
Ann. Probab., Tome 33 (2005) no. 1, p. 177-193 / Harvested from Project Euclid
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We characterize the convergence in distribution to a standard normal law for a sequence of multiple stochastic integrals of a fixed order with variance converging to 1. Some applications are given, in particular to study the limiting behavior of quadratic functionals of Gaussian processes.
Publié le : 2005-01-14
Classification:  Multiple stochastic integrals,  Brownian motion,  weak convergence,  fractional Brownian motion,  Brownian sheet,  60F05,  60H05 
@article{1108141724,
     author = {Nualart, David and Peccati, Giovanni},
     title = {Central limit theorems for sequences of multiple stochastic integrals},
     journal = {Ann. Probab.},
     volume = {33},
     number = {1},
     year = {2005},
     pages = { 177-193},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1108141724}
}

Nualart, David; Peccati, Giovanni. Central limit theorems for sequences of multiple stochastic integrals. Ann. Probab., Tome 33 (2005) no. 1, pp.  177-193. http://gdmltest.u-ga.fr/item/1108141724/