Exchangeable pairs on Wiener chaos

DOI10.1007/978-3-030-26391-1_14MaRDI QIDQ2190643zbMATHOpenAlexFDO

Authors Ivan Nourdin, Guangqu Zheng

Publication date 21 June 2020

Full work available at URL https://arxiv.org/abs/1704.02164

zbMATH Keywords

Malliavin calculusBrownian motionStein's methodexchangeable pairs

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Sums of independent random variables; random walks (60G50) Stochastic integrals (60H05)

Abstract: In [14], Nourdin and Peccati combined the Malliavin calculus and Stein's method of normal approximation to associate a rate of convergence to the celebrated fourth moment theorem [19] of Nualart and Peccati. Their analysis, known as the Malliavin-Stein method nowadays, has found many applications towards stochastic geometry, statistical physics and zeros of random polynomials, to name a few. In this article, we further explore the relation between these two fields of mathematics. In particular, we construct exchangeable pairs of Brownian motions and we discover a natural link between Malliavin operators and these exchangeable pairs. By combining our findings with E. Meckes' infinitesimal version of exchangeable pairs, we can give another proof of the quantitative fourth moment theorem. Finally, we extend our result to the multidimensional case.

Recommendations

• Stein's method, Malliavin calculus, Dirichlet forms and the fourth moment theorem
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Cited in

(10)

• Functional Gaussian approximations on Hilbert-Poisson spaces
• New error bounds in multivariate normal approximations via exchangeable pairs with applications to Wishart matrices and fourth moment theorems
• scientific article; zbMATH DE number 7662451 (Why is no real title available?)
• Fourth moment theorems on the Poisson space in any dimension
• Gaussian fluctuation for Gaussian Wishart matrices of overall correlation
• Almost sure convergence on chaoses
• A Peccati-Tudor type theorem for Rademacher chaoses
• Asymptotic behavior of large Gaussian correlated Wishart matrices
• Stein's method, Malliavin calculus, Dirichlet forms and the fourth moment theorem
• Entropy and the fourth moment phenomenon

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