On the fourth moment theorem for complex multiple Wiener–Itô integrals
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Publication:2974265
Abstract: In this paper, a product formula of Hermite polynomials is given and then the relation between the real Wiener-It^{o} chaos and the complex Wiener-It^{o} chaos (or: multiple integrals) is shown. By this relation and the known multivariate extension of the fourth moment theorem for the real multiple integrals, the fourth moment theorem (or say: the Nualart-Peccati criterion) for the complex Wiener-It^{o} multiple integrals is obtained.
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Cited in
(7)- Kernel representation formula: from complex to real Wiener-Itô integrals and vice versa
- Yet another proof of the Nualart-Peccati criterion
- Parameter Estimation of Complex Fractional Ornstein-Uhlenbeck Processes with Fractional Noise
- Complex Wiener-Itô chaos decomposition revisited
- Optimal rate of convergence for vector-valued Wiener-Itô integral
- Generalizations of the fourth moment theorem
- Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion
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