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2005 Convergence in Dirichlet Law of Certain Stochastic Integrals
Christophe Chorro
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Electron. J. Probab. 10: 1005-1025 (2005). DOI: 10.1214/EJP.v10-272

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. The aim of this paper is to extend this result to some families of stochastic integrals.

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Christophe Chorro. "Convergence in Dirichlet Law of Certain Stochastic Integrals." Electron. J. Probab. 10 1005 - 1025, 2005. https://doi.org/10.1214/EJP.v10-272

Information

Accepted: 21 July 2005; Published: 2005
First available in Project Euclid: 1 June 2016

zbMATH: 1109.60007
MathSciNet: MR2164038
Digital Object Identifier: 10.1214/EJP.v10-272

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