Limit theorems for nonlinear functionals of Volterra processes via white noise analysis
Darses, Sébastien ; Nourdin, Ivan ; Nualart, David
Bernoulli, Tome 16 (2010) no. 1, p. 1262-1293 / Harvested from Project Euclid
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By means of white noise analysis, we prove some limit theorems for nonlinear functionals of a given Volterra process. In particular, our results apply to fractional Brownian motion (fBm) and should be compared with the classical convergence results of the 1980s due to Breuer, Dobrushin, Giraitis, Major, Surgailis and Taqqu, as well as the recent advances concerning the construction of a Lévy area for fBm due to Coutin, Qian and Unterberger.
Publié le : 2010-11-15
Classification:  fractional Brownian motion,  limit theorems,  Volterra processes,  white noise analysis 
@article{1290092906,
     author = {Darses, S\'ebastien and Nourdin, Ivan and Nualart, David},
     title = {Limit theorems for nonlinear functionals of Volterra processes via white noise analysis},
     journal = {Bernoulli},
     volume = {16},
     number = {1},
     year = {2010},
     pages = { 1262-1293},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1290092906}
}

Darses, Sébastien; Nourdin, Ivan; Nualart, David. Limit theorems for nonlinear functionals of Volterra processes via white noise analysis. Bernoulli, Tome 16 (2010) no. 1, pp.  1262-1293. http://gdmltest.u-ga.fr/item/1290092906/