Introduction. In 1922 Norbert Wiener [I], treating the Brownian motion of a particle, introduced a measure on the space of continuous real functions, and a corresponding integral. In 1948 Richard Feynman [2], studying the quantum mechanics of a particle, introduced a different integral over the same space. He also showed that his integral can be used to represent the solution of the initial val...

We prove sufficient conditions, ensuring that a sequence of multiple Wiener-Itô integrals (with respect to a general Gaussian process) converges stably to a mixture of normal distributions. Our key tool is an asymptotic decomposition of contraction kernels, realized by means of increasing families of projection operators. We also use an infinite-dimensional Clark-Ocone formula, as well as a ver...

We consider asymptotic properties of curve-crossing counts of linear processes and nonlinear time series by curves. Central limit theorems are obtained for curve-crossing counts of short-range dependent processes. For the long-range dependence case, the asymptotic distributions are shown to be either multiple Wiener–Itô integrals or integrals with respect to stable Lévy processes, depending on ...

Using recent results on the behavior of multiple Wiener-Itô integrals based on Stein’s method, we prove Hsu-Robbins and Spitzer’s theorems for sequences of correlated random variables related to the increments of the fractional Brownian motion.

By using Malliavin calculus and multiple Wiener-Itô integrals, we study the existence and the regularity of stochastic currents defined as Skorohod (divergence) integrals with respect to the Brownian motion and to the fractional Brownian motion. We consider also the multidimensional multiparameter case and we compare the regularity of the current as a distribution in negative Sobolev spaces wit...

Suppose that T is a map of the Wiener space into itself, of the following type: T = I + u where u takes its values in the Cameron-Martin space H. Assume also that u is a finite sum of H-valued multiple Ito-Wiener integrals. In this work we prove that if T preserves the Wiener measure, then necessarily u is in the first Wiener chaos and the transformation corresponding to it is a rotation in the...

Old and new results for characterizing volume forms in functional integration. 1 The Wiener measure Defining volume forms on infinite dimensional spaces is a key problem in the theory of functional integration. The first volume form used in functional integration has been the Wiener measure. From the several equivalent definitions of the Wiener measure, we choose one [1] which can easily be ext...

and since evaluation of this integral by analysis often cannot be done, it is of some practical interest to investigate the possibility of numerically evaluating this integral. Such a calculation is expected to require an enormous amount of arithmetic since it involves the evaluation of a fc-fold integral where k >5> 1 ; an exact evaluation requires going to the limit k —* ». Consequently, it i...