Wiener functionals and probability limit theorems. II: Term-wise multiplication and its applications (Q1113171)

Let \(\xi(t)\) be a real Gaussian process with \(E\xi(t)=0\), \(\xi(t)=\int e^{i\lambda t}d\beta(\lambda)\) \((-\infty <t<\infty)\) and spectral density \(f(\lambda)\). Let \(L^ 2\) be the space of functions \(X=c_ 0+\sum_{k\geq 1}X_ k\), where \(X_ k=I_ k(c_ k)\) is the multiple Itô integral of \(c_ k\) with respect to \(d^ k\beta\). Let \(X^*_{(n)}\) be the partial sum up to n of \(X_ k=I_ k(| c_ k|)\). Define \[ \|| X\||_{2m}= \sum_{k\geq 0}(2m-1)^{k/2}\sqrt{k!} \| c_ k\|_ 2,\quad \|| X\||'_{2m}= (\sup_{0\leq n\leq \infty}E({X^*}_{(n)}^{2m})^{1/2m}, \] and let \(N_{2m}=\{X\in L^ 2:\|| X\||_{2m}<\infty\}\) and \(N'_{2m}=\{X\in L^ 2:\|| X\||'_{2m}<\infty\}\). The author examines in detail properties of \(N_{2m}\) and \(N'_{2m}\) as linear spaces, introduces cumulant spectral densities for strictly stationary processes \(X(t)\) subordinate to \(\xi\) when \(X(0)\) belongs to \(N_{2m}\) or \(N'_{2m}\). He also proves a Tauberiantype theorem. Finally, he proves the convergence of \[ \bar X(T)=(1/\sqrt{V(T)})\int^{T}_{0}X(t)dt\text{ to }N(0,1), \] where \(X(t)=\sum_{k\geq 0}X_ k(t)\) with \(X_ k(t)=I_ k(e^{i(\lambda_ 1+...+\lambda_ k)t}c_ k(\cdot))\), and the weak convergence in \(C[0,1]\) of \[ \bar X(T,t)=(1/\sqrt{V(T)})\int^{Tt}_{0}X(s)ds \] to the Wiener process as \(T\to \infty\). The first result improves the author's earlier work in part I, Osaka J. Math. 22, 697-732 (1985; Zbl 0575.60025).