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JOURNALS // Teoriya Veroyatnostei i ee Primeneniya // Archive

Teor. Veroyatnost. i Primenen., 1995 Volume 40, Issue 2, Pages 423–430 (Mi tvp3488)

Short Communications

A local limit theorem for multiple Wiener–Itô stochastic integrals

Yu. A. Davydova, R. R. Manukyan

a Saint-Petersburg State University

Abstract: The paper proves that under sufficiently natural conditions distributions of double Wiener–Itô stochastic integrals have bounded densities, which converge in the uniform metric to the density of limit distribution.

Keywords: double Wiener–Itô, stochastic integrals, strong convergence, local limit theorem.

Received: 25.02.1992


 English version:
Theory of Probability and its Applications, 1995, 40:2, 354–361

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