Second order Poincaré inequalities and CLTs on Wiener space
From MaRDI portal
(Redirected from Publication:1029322)
Abstract: We prove infinite-dimensional second order Poincar'e inequalities on Wiener space, thus closing a circle of ideas linking limit theorems for functionals of Gaussian fields, Stein's method and Malliavin calculus. We provide two applications: (i) to a new "second order" characterization of CLTs on a fixed Wiener chaos, and (ii) to linear functionals of Gaussian-subordinated fields.
The authors consider the second order Poincaré inequality proved on finite dimensional Gaussian space by \textit{S. Chatterjee} [Probab. Theory Relat. Fields 143, No. 1--2, 1--40 (2009; Zbl 1152.60024)], and extend it to the infinite-dimensional setting of the Wiener space. The main result of the paper under review consists in an upper bound on the Wasserstein and total variation distances between the law of a Wiener functional \(F\) and that of a Gaussian random variable \(Z\), using the operator norms of the first and second order Malliavin derivatives of \(F\). Applications are given to a second order characterization of the Central Limit Theorem (CLT) on fixed Wiener chaoses, and to a CLT for functionals of the form \[ F = {1 \over \sqrt{T}} \int_{aT}^{bT} ( f(B_{u+1}-B_u) - E [ f(Z)] ) du \] as \(T\) goes to infinity, where \((B_u)_{u\in {\mathbb R}_+}\) is a centered Gaussian process with stationary increments and \(f\) is a symmetric, non-constant \({\mathcal C}^2\) function.
Recommendations
Cites work
- A note on an inequality involving the normal distribution
- A simple proof of the Poincaré inequality for a large class of probability measures
- An Introduction to Stein's Method
- Central limit theorems for multiple stochastic integrals and Malliavin calculus
- Central limit theorems for sequences of multiple stochastic integrals
- Characterization of probability distributions by Poincaré-type inequalities
- CLT for \(L^p\) moduli of continuity of Gaussian processes
- Continuity of Solutions of Parabolic and Elliptic Equations
- Covariance identities and inequalities for functionals on Wiener and Poisson spaces
- De Rham-Hodge-Kodaira's decomposition on an abstract Wiener space
- Fluctuations of eigenvalues and second order Poincaré inequalities
- scientific article; zbMATH DE number 1014073 (Why is no real title available?)
- scientific article; zbMATH DE number 2149887 (Why is no real title available?)
- Isoperimetric and analytic inequalities for log-concave probability measures
- Multiple Wiener integral
- Multivariate normal approximation using Stein's method and Malliavin calculus
- On a Generalization of a Stochastic Integral
- Poincaré-type inequalities via stochastic integrals
- Stein's method on Wiener chaos
- The central limit theorem and Poincaré-type inequalities
- The Malliavin Calculus and Related Topics
- Variational inequalities with examples and an application to the central limit theorem
- Weighted power variations of iterated Brownian motion
Cited in
(43)- Invariance principles for homogeneous sums: universality of Gaussian Wiener chaos
- Total variation estimates in the Breuer-Major theorem
- Fluctuations for matrix-valued Gaussian processes
- Quantitative central limit theorems for the parabolic Anderson model driven by colored noises
- The hyperbolic Anderson model: moment estimates of the Malliavin derivatives and applications
- Scaling limit of the homogenization commutator for Gaussian coefficient fields
- On the equivalence of Sobolev norms in Malliavin spaces
- Fluctuations of the solutions to the KPZ equation in dimensions three and higher
- Constructing a solution of the (2+1)-dimensional KPZ equation
- Higher-order pathwise theory of fluctuations in stochastic homogenization
- Malliavin-Stein method: a survey of some recent developments
- Entropy and the fourth moment phenomenon
- Semicircular limits on the free Poisson chaos: counterexamples to a transfer principle
- An improved second-order Poincaré inequality for functionals of Gaussian fields
- Gaussian fluctuations from the 2D KPZ equation
- Berry-Esseen bounds in the Breuer-major CLT and Gebelein's inequality
- Convergence of densities of some functionals of Gaussian processes
- A simplified second-order Gaussian Poincaré inequality in discrete setting with applications
- Quantitative CLTs on a Gaussian space: a survey of recent developments
- A new approach to Poincaré-type inequalities on the Wiener space
- Normal convergence using Malliavin calculus with applications and examples
- Nourdin-Peccati analysis on Wiener and Wiener-Poisson space for general distributions
- Gradient-based dimension reduction of multivariate vector-valued functions
- On Stein's method for infinite-dimensional Gaussian approximation in abstract Wiener spaces
- Convergence in total variation for nonlinear functionals of random hyperspherical harmonics
- Bounds in \(L^1\) Wasserstein distance on the normal approximation of general M-estimators
- Covariance representations, \(L^p\)-Poincaré inequalities, Stein's kernels, and high-dimensional CLTs
- Hyperbolic Anderson model with Lévy white noise: spatial ergodicity and fluctuation
- Superconvergence phenomenon in Wiener chaoses
- A flexible approach for normal approximation of geometric and topological statistics
- The Brownian transport map
- Fisher information bounds and applications to SDEs with small noise
- Estimation for the reaction term in semi-linear SPDEs under small diffusivity
- Quantitative fluctuation analysis of multiscale diffusion systems via Malliavin calculus
- Small diffusivity asymptotics for a linear parabolic SPDE in two space dimensions
- Quantitative CLTs on the Poisson space via Skorohod estimates and p-Poincaré inequalities
- Gaussian fluctuations for the wave equation under rough random perturbations
- Stein's Lemma, Malliavin calculus, and tail bounds, with application to polymer fluctuation exponent
- Normal approximation on Poisson spaces: Mehler's formula, second order Poincaré inequalities and stabilization
- Stokes formula on the Wiener space and \(n\)-dimensional Nourdin-Peccati analysis
- Stein's method and normal approximation of Poisson functionals
- Cumulants on the Wiener space
- Almost sure central limit theorems on the Wiener space
This page was built for publication: Second order Poincaré inequalities and CLTs on Wiener space
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1029322)
