Year: 2008
Type: preprint
Abstract: We establish the strong L2(P)-convergence of properly rescaled Wick powers as the power index tends to infinity. The explicit representation of such limit will also provide the convergence in distribution to normal and log-normal random variables. The proofs rely on some estimates for the L2(P)-norm of Wick products and on the properties of second quantization operators.
Source: arXiv (Cornell University)
Author: Lanconelli, Alberto
Institution: University of Bari Aldo Moro
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1621165197