Central Limit Theorems for Multiple Skorokhod Integrals

摘要

In this paper, we prove a central limit theorem for a sequence of multiple Skorokhod integrals using the techniques of Malliavin calculus. The convergence is stable, and the limit is a conditionally Gaussian random variable. Some applications to sequences of multiple stochastic integrals, and renormalized weighted Hermite variations of the fractional Brownian motion are discussed.