Central limit theorem for a Stratonovich integral with Malliavin   calculus
  The purpose of this paper is to establish the convergence in law of the sequence of "midpoint" Riemann sums for a stochastic process of the form f'(W), where W is a Gaussian process whose covariance function satisfies some technical conditions. As a consequence we derive a change-of-variable formula in law with a second order correction term which is an It\^{o} integral of f''(W) with respect to a Gaussian martingale independent of W. The proof of the convergence in law is based on the techniques of Malliavin calculus and uses a central limit theorem for q-fold Skorohod integrals, which is a multi-dimensional extension of a result proved by Nourdin and Nualart [J. Theoret. Probab. 23 (2010) 39-64]. The results proved in this paper are generalizations of previous work by Swanson [Ann. Probab. 35 (2007) 2122-2159] and Nourdin and R\'{e}veillac [Ann. Probab. 37 (2009) 2200-2230], who found a similar formula for two particular types of bifractional Brownian motion. We provide three examples of Gaussian processes W that meet the necessary covariance bounds. The first one is the bifractional Brownian motion with parameters $H\le1/2$, HK=1/4. The others are Gaussian processes recently studied by Swanson [Probab. Theory Related Fields 138 (2007) 269-304], [Ann. Probab. 35 (2007) 2122-2159] in connection with the fluctuation of empirical quantiles of independent Brownian motion. In the first example the Gaussian martingale is a Brownian motion, and expressions are given for the other examples. 
Daniel Harnett, David Nualart
math.PR