Convergence in Dirichlet Law of Certain Stochastic Integrals
Christophe Chorro, Cermsem, Université Paris 1, France
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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