Loading...
Limit theorems for nonlinear functionals of Volterra processes via white noise analysis
Darses, Sebastien Nourdin, Ivan Nualart, David
Darses, Sebastien
Nourdin, Ivan
Nualart, David
Citations
Altmetric:
Abstract
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.
Description
This is the published version, also available here: http://dx.doi.org/10.3150/10-BEJ258.
Date
2010-11-10
Journal Title
Journal ISSN
Volume Title
Publisher
Bernoulli Society for Mathematical Statistics and Probability
Collections
Research Projects
Organizational Units
Journal Issue
Keywords
Citation
Darses, Sébastien; Nourdin, Ivan; Nualart, David. Limit theorems for nonlinear functionals of Volterra processes via white noise analysis. Bernoulli 16 (2010), no. 4, 1262--1293. http://dx.doi.org/10.3150/10-BEJ258.