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Convergence en loi de Dirichlet de certaines intégrales stochastiques

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  • Christophe Chorro

    (CERMSEM - CEntre de Recherche en Mathématiques, Statistique et Économie Mathématique - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique)

Abstract

Recently, Nicolas Bouleau has proposed an extension of the Donsker's invariance principle in the framework of Dirichlet forms. He proves that an erroneous random walk of i.i.d random variables converges in Dirichlet law toward the Ornstein-Uhlenbeck error structure on the Wiener space [4]. The aim of this paper is to extend this result to some families of stochastic integrals.

Suggested Citation

  • Christophe Chorro, 2005. "Convergence en loi de Dirichlet de certaines intégrales stochastiques," Post-Print halshs-00194673, HAL.
    • Handle: RePEc:hal:journl:halshs-00194673
    Note: View the original document on HAL open archive server: https://shs.hal.science/halshs-00194673
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    References listed on IDEAS

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    1. Bardina, Xavier & Jolis, Maria, 2000. "Weak convergence to the multiple Stratonovich integral," Stochastic Processes and their Applications, Elsevier, vol. 90(2), pages 277-300, December.
    2. Nicolas Bouleau & Christophe Chorro, 2004. "Error structures and parameter estimation," Cahiers de la Maison des Sciences Economiques b04079, Université Panthéon-Sorbonne (Paris 1).
    3. Christophe Chorro, 2004. "On an extension of the Hilbertian central limit theorem to Dirichlet forms," Cahiers de la Maison des Sciences Economiques b04080, Université Panthéon-Sorbonne (Paris 1).
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