Cumulants on the Wiener space (Q971831)
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scientific article; zbMATH DE number 5708625
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| English | Cumulants on the Wiener space |
scientific article; zbMATH DE number 5708625 |
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Cumulants on the Wiener space (English)
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17 May 2010
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The authors use infinite-dimensional integration by parts formula to find a recursive formula for cumulants of functionals of a Gaussian field. It is applied to random variables which are multiple Wiener-Itô integrals. Then this result is compared to a classical combinatorial representation of such cumulants. The new formula for cumulants is then used to give a new proof of the previous result by \textit{D. Nualart} and \textit{G. Peccati} [Ann. Probab. 33, No.~1, 177--193 (2005; Zbl 1097.60007)] on the CLT for the Wiener chaos expansion.
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cumulants
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Gaussian processes
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Malliavin calculus
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Ornstein-Uhlenbeck semigroup
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0.8097457885742188
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0.7989983558654785
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0.7977690100669861
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0.786544919013977
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0.785388708114624
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