Limit theorems for nonlinear functionals of Volterra processes via white noise analysis

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 eighties by Breuer, Dobrushin, Giraitis, Major, Surgailis and Taqqu, as well as the recent advances concerning the construction of a Lévy area for fBm by Coutin, Qian and Unterberger
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Preprints, Working Papers, ...
34 pages. 2009
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https://hal.archives-ouvertes.fr/hal-00374526
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Submitted on : Wednesday, April 8, 2009 - 7:08:37 PM
Last modification on : Monday, May 29, 2017 - 2:22:04 PM
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  • HAL Id : hal-00374526, version 1
  • ARXIV : 0904.1401

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Sébastien Darses, Ivan Nourdin, David Nualart. Limit theorems for nonlinear functionals of Volterra processes via white noise analysis. 34 pages. 2009. <hal-00374526>

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