Stable convergence of multiple Wiener--Itô integrals (Q939135): Difference between revisions

The notion of stable convergence (extending the usual notion of convergence in law) is exhaustively characterized in Section VIII.5c of the book by \textit{J. Jacod} and \textit{A. N. Shiryaev} [Limit theorems for stochastic processes. Grundlehren der Mathematischen Wissenschaften, 288. Berlin etc.: Springer-Verlag. XVIII, 601 p.; DM 198.00 (1987; Zbl 0635.60021)]. The purpose of the present paper is to obtain sufficient conditions for a sequence of multiple Wiener-Itô integrals (with respect to a general Gaussian process) to converge stably to a mixture of normal distributions. The key tools include -- an asymptotic decomposition of contraction kernels realized by means of increasing families of projection operators, -- an infinite-dimensional Clark-Ocone formula, and -- a version of the correspondence between ``abstract'' and ``concrete'' filtered Wiener spaces similarly as in \textit{A. S. Üstünel} and \textit{M. Zakai} [J. Funct. Anal. 143, 10--32 (1997; Zbl 0873.60039)].