We prove the weak convergence in C ([0, T]) of the laws of the Itô and Stratonovich multiple integrals of some classes of deterministic functions with respect to the fractional Brownian motion, BH, with Hurst parameter H > 1 / 2, to the law of the corresponding multiple integral with respect to BH0, when H tends to H0 ∈ [1 / 2, 1). © 2007 Elsevier Ltd. All rights reserved.
- Convergence in law
- Fractional Brownian motion
- Itô-type multiple integral
- Stratonovich-type multiple integral