Distribution and moment convergence of martingales (Q1094750): Difference between revisions

If \(S_{n,k}=\sum _{1\leq i_ 1<...<i_ k\leq m_ n}X_{ni_ 1}...X_{ni_ k}\) where \(\{X_{nj},{\mathcal F}_{nj}\); \(1\leq j\leq m_ n\uparrow \infty,n\geq 1\}\) is a martingale difference array, conditions are given for the distribution and moment convergence of \(S_{n,k}\) to the distribution and moments of \((1/k!)H_ k(Z)\) where \(H_ k\) is the Hermite polynomial of degree k and Z is a standard normal variable. This is intimately related to an identity for multiple Wiener integrals. Under alternative conditions, similar results hold for \(S_{n,k}/U^ k_ n\) and \(S_{n,k}/V^ k_ n\) where \(U^ 2_ n=\sum ^{m_ n}_{j=1}X^ 2_{nj}\) and \(V^ 2_ n\) is the conditional variance.