The total variation distance between two double Wiener-Itô integrals (Q2435728)
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English | The total variation distance between two double Wiener-Itô integrals |
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The total variation distance between two double Wiener-Itô integrals (English)
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19 February 2014
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The author considers the total variation distance between two double Wiener-Itō integrals, improving upon a bound due to \textit{Yu. A. Davydov} and \textit{G. V. Martynova} [in: Statistics and control of stochastic processes. Moskva: Collect. Artic., 55--57 (1989; Zbl 0709.60056)] under an additional assumption concerning the eigenvalues of a certain Hilbert-Schmidt operator. Specifically, let \(H\) be a real, separable, infinite-dimensional Hilbert space. Let \(H^{\otimes2}\) and \(H^{\odot2}\) be the tensor product and symmetric tensor product, respectively, of \(H\) with itself. Let \(f_n\in H^{\odot2}\) be such that \(f_n\rightarrow f_\infty\in H^{\otimes2}\) as \(n\rightarrow\infty\). Let \(I_2(f_n)\) denote the double Wiener-Itō integral of \(f_n\) with respect to an isonormal Gaussian process on \(H\). Furthermore, let \(A_{f_\infty}:H\to H\) be given by \(A_{f_\infty}g=\langle f_\infty,g\rangle_H\) for \(f_\infty\in H^{\odot2}\) and let \(\lambda_{\infty,k}\), \(k\geq1\), denote the eigenvalues of \(A_{f_\infty}\). The author shows that, if \(|\{k:\lambda_{\infty,k}\not=0\}|\geq5\), then there is a constant \(c>0\) such that \[ \sup_C\left|\operatorname{P}(I_2(f_n)\in C)-\operatorname{P}(I_2(f_\infty\in C))\right|\leq c\| f_n-f_\infty\|_{H^{\otimes2}}\,. \] As an application, a rate is given for the convergence of a functional of two correlated fractional Brownian motions to the Rosenblatt distribution. The rate depends on the Hurst parameters of the fractional Brownian motions. The proofs use an approach developed by \textit{I. Nourdin} and \textit{G. Poly} [Stochastic Processes Appl. 123, No. 2, 651--674 (2013; Zbl 1259.60029)] which applies Malliavin calculus.
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double Wiener-Itō integrals
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convergence in total variation
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Malliavin calculus
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isonormal Gaussian process
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fractional Brownian motions
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Rosenblatt process
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