Almost sure limit theorems on Wiener chaos: the non-central case

DOI10.1214/19-ECP212MaRDI QIDQ2631803zbMATH OpenOpenAlexFDO

Authors Ehsan Azmoodeh, Ivan Nourdin

Publication date 16 May 2019

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1807.08642, https://projecteuclid.org/euclid.ecp/1550199821

zbMATH Keywords

characteristic functionMalliavin calculusfractional Brownian motionWiener chaosHermite distributionalmost sure limit theoremmultiple Wiener-Itô integrals

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05)

Abstract: In cite{BNT}, a framework to prove almost sure central limit theorems for sequences $(G_n)$ belonging to the Wiener space was developed, with a particular emphasis of the case where $G_n$ takes the form of a multiple Wiener-It^o integral with respect to a given isonormal Gaussian process. In the present paper, we complement the study initiated in cite{BNT}, by considering the more general situation where the sequence $(G_n)$ may not need to converge to a Gaussian distribution. As an application, we prove that partial sums of Hermite polynomials of increments of fractional Brownian motion satisfy an almost sure limit theorem in the long-range dependence case, a problem left open in cite{BNT}.

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Cited in

(8)

• On stationarity properties of generalized Hermite-type processes
• Spatial quadratic variations for the solution to a stochastic partial differential equation with elliptic divergence form operator
• Almost sure central limit theorems in stochastic geometry
• Almost sure central limit theorems on the Wiener space
• Pathwise large deviations for white noise chaos expansions
• Wiener Integrals with Respect to the Hermite Process and a Non-Central Limit Theorem
• Empirical limit theorems for Wiener chaos
• Almost sure central limit theorems for stochastic wave equations

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