IDEAS home Printed from https://ideas.repec.org/a/eee/stapro/v76y2006i17p1904-1913.html
   My bibliography  Save this article

Convergence in variation of the joint laws of multiple Wiener-Itô integrals

Author

Listed:
  • Breton, Jean-Christophe

Abstract

The convergence in variation of the laws of multiple Wiener-Itô integrals with respect to their kernel has been studied by Davydov and Martynova in [1987. Limit behavior of multiple stochastic integral. Statistics and Control of Random Process (Preila, 1987), Nauka, Moscow, pp. 55-57 (in Russian)]. Here, we generalize this convergence for the joint laws of multiple Wiener-Itô integrals. In this case, the argument relies on superstructure method which consists in studying related functionals along admissible directions for a Gaussian process.

Suggested Citation

  • Breton, Jean-Christophe, 2006. "Convergence in variation of the joint laws of multiple Wiener-Itô integrals," Statistics & Probability Letters, Elsevier, vol. 76(17), pages 1904-1913, November.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:17:p:1904-1913
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0167-7152(06)00157-X
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nourdin, Ivan & Poly, Guillaume, 2013. "Convergence in total variation on Wiener chaos," Stochastic Processes and their Applications, Elsevier, vol. 123(2), pages 651-674.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:76:y:2006:i:17:p:1904-1913. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.