Korean Journal of Mathematics

The Kangwon-Kyungki Mathematical Society (강원경기수학회)
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WEAK CONVERGENCE FOR MULTIPLE STOCHASTIC INTEGRALS IN SKOROHOD SPACE

  • Kim, Yoon Tae (Department of Finance and Information Statistics Hallym University)
  • Received : 2014.01.08
  • Accepted : 2014.03.02
  • Published : 2014.03.30
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Abstract

By using the multidimensional normal approximation of functionals of Gaussian fields, we prove that functionals of Gaussian fields, as functions of t, converge weakly to a standard Brownian motion. As an application, we consider the convergence of the Stratonovich-type Riemann sums, as a function of t, of fractional Brownian motion with Hurst parameter H = 1/4.

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References

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