Exchangeable pairs on Wiener chaos
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Publication:2190643
DOI10.1007/978-3-030-26391-1_14zbMATH Open1448.60100arXiv1704.02164OpenAlexW2607101653MaRDI QIDQ2190643FDOQ2190643
Publication date: 21 June 2020
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.
Full work available at URL: https://arxiv.org/abs/1704.02164
Stochastic calculus of variations and the Malliavin calculus (60H07) Sums of independent random variables; random walks (60G50) Stochastic integrals (60H05)
Cited In (8)
- Asymptotic behavior of large Gaussian correlated Wishart matrices
- Fourth moment theorems on the Poisson space in any dimension
- Functional Gaussian approximations on Hilbert-Poisson spaces
- Almost sure convergence on chaoses
- New error bounds in multivariate normal approximations via exchangeable pairs with applications to Wishart matrices and fourth moment theorems
- Title not available (Why is that?)
- Gaussian fluctuation for Gaussian Wishart matrices of overall correlation
- A Peccati-Tudor type theorem for Rademacher chaoses
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