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 Lvy area for fBm by Coutin, Qian and Unterberger.

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Cite this paper

@inproceedings{Darses2009LimitTF, title={Limit theorems for nonlinear functionals of Volterra processes via white noise analysis}, author={Sebastien Darses and Ivan Nourdin}, year={2009} }