We construct a family Inε(f)t of continuous stochastic processes that converges in the sense of finite dimensional distributions to a multiple Wiener-Itô integral InH(f1[0,t] ⊗n) with respect to the fractional Brownian motion. We assume that H>12 and we prove our approximation result for the integrands f in a rather general class. © 2010 Elsevier Inc.
- Fractional Brownian motion
- Limit theorems
- Multiple stochastic integrals
- Weak convergence