This 2017 Italian review selected 9 human studies on the epigenetic effects of:

“..one of the major adverse events in human development. Preterm infants are hospitalized in the Neonatal Intensive Care Unit where they are exposed to life-saving yet pain-inducing procedures and to protective care.”

Highlights of the referenced studies included:

• “..early exposure to adverse events during the third trimester of pregnancy is capable to alter the epigenetic status of imprinted and placenta-related genes which have relevant implications for fetal development and preterm infants’ HPA [hypothalamic–pituitary–adrenal] stress reactivity during infancy.”
• “..there was an association between DNAm [DNA methylation] and white matter tract tissue integrity and shape inferred from dMRI [diffusion MRI], suggesting that epigenetic variation may contribute to the cerebral phenotype of preterm birth.”

Limitations of the referenced studies included:

• “A multiple sampling design that includes parental samples, placental tissue, cord blood and extends across the life-course would be required to investigate the relative contributions of in utero and postnatal exposures to changes in DNAm, and the extent to which preterm birth leaves a legacy on the methylome.”
• Saliva, blood, and other tissues’ DNA methylation may not produce valid links to brain tissue DNA methylation of the same gene, which may hamper conclusive inferences about behavior, etc.

http://www.sciencedirect.com/science/article/pii/S0149763417302117 “Preterm Behavioral Epigenetics: A systematic review” (not freely available)

http://www.nature.com/tp/journal/v6/n1/full/tp2015210a.html “Epigenomic profiling of preterm infants reveals DNA methylation differences at sites associated with neural function” (one of the studies selected, quoted above)