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dc.contributor.authorNourdin, Ivan
dc.contributor.authorRéveillac, Anthony
dc.contributor.authorSwanson, Jason
dc.date.accessioned2011-10-03T12:57:45Z
dc.date.available2011-10-03T12:57:45Z
dc.date.issued2010
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/7089
dc.language.isoenen
dc.subjectStochastic integrationen
dc.subjectStratonovich integralen
dc.subjectFractional Brownian motionen
dc.subjectWeak convergenceen
dc.subjectMalliavin calculusen
dc.subject.ddc519en
dc.titleThe weak Stratonovich integral with respect to fractional Brownian motion with Hurst parameter 1/6en
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenLet B be a fractional Brownian motion with Hurst parameter H=1/6. It is known that the symmetric Stratonovich-style Riemann sums for $\int g(B(s))dB(s)$ do not, in general, converge in probability. We show, however, that they do converge in law in the Skorohod space of càdlàg functions. Moreover, we show that the resulting stochastic integral satisfies a change of variable formula with a correction term that is an ordinary Itô integral with respect to a Brownian motion that is independent of B.en
dc.relation.isversionofjnlnameElectronic Journal of Probability
dc.relation.isversionofjnlvol15en
dc.relation.isversionofjnldate2010
dc.relation.isversionofjnlpages2117-2162en
dc.identifier.urlsitehttp://hal.archives-ouvertes.fr/hal-00493981/fr/en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherInstitute of Mathematical Statisticsen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen


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