Title of article :
Continuity with respect to the Hurst parameter of the laws of the multiple fractional integrals
Author/Authors :
Jolis، نويسنده , , Maria and Viles، نويسنده , , Noèlia، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2007
Abstract :
We prove the weak convergence in C ( [ 0 , T ] ) of the laws of the Itô and Stratonovich multiple integrals of some classes of deterministic functions with respect to the fractional Brownian motion, B H , with Hurst parameter H > 1 / 2 , to the law of the corresponding multiple integral with respect to B H 0 , when H tends to H 0 ∈ [ 1 / 2 , 1 ) .
Keywords :
Stratonovich-type multiple integral , Fractional Brownian motion , Convergence in law , Itô-type multiple integral
Journal title :
Stochastic Processes and their Applications
Journal title :
Stochastic Processes and their Applications