Geodesic
On the construction and limit behaviour of a~multiple stochastic integral for the diffusion process
Teoriâ veroâtnostej i ee primeneniâ, Tome 25 (1980) no. 3, pp. 606-613

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We give the definition of the multiple integral $$ I_f=\int_0^T\dotsi\int_0^Tf(\xi(t_1),\dots,\xi(t_m))\,d\xi(t_1)\dots d\xi(t_m) $$ where $\xi(t)$ is the solution of the Ito's diffusion equation $$ d\xi(t)=a(t,\xi(t))\,dt+\sigma(t,\xi(t))\,dw(t). $$ The asymptotic distributions of the integral $I_t$ are investigated. 
@article{TVP_1980_25_3_a16,
     author = {G. L. Kulini\v{c} and Le Thieng Huong},
     title = {On the construction and limit behaviour of a~multiple stochastic integral for the diffusion process},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {606--613},
     publisher = {mathdoc},
     volume = {25},
     number = {3},
     year = {1980},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1980_25_3_a16/}
}
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G. L. Kulinič; Le Thieng Huong. On the construction and limit behaviour of a~multiple stochastic integral for the diffusion process. Teoriâ veroâtnostej i ee primeneniâ, Tome 25 (1980) no. 3, pp. 606-613. http://geodesic.mathdoc.fr/item/TVP_1980_25_3_a16/