Theory of Probability and Mathematical Statistics
Limit theorems for singular Skorohod integrals
D. Bell, R. Bolanos, D. Nualart
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Abstract: In this paper we prove the convergence in distribution of sequences of It\^o and Skorohod integrals with integrands having singular asymptotic behavior. These sequences include stochastic convolutions and generalize the example $\sqrt n\int_0^1 t^n B_t dB_t$ first studied by Peccati and Yor in 2004.
Keywords: Skorohod integral, Malliavin calculus, convergence in law, stochastic convolution.
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