On the fourth moment theorem for complex multiple Wiener–Itô integrals

DOI10.1142/S0219025717500059zbMath1361.60015arXiv1408.1817OpenAlexW3099751065MaRDI QIDQ2974265

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Publication date: 6 April 2017

Published in: Infinite Dimensional Analysis, Quantum Probability and Related Topics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1408.1817

zbMATH Keywords

central limit theoremmultiple Wiener-Itô integralsfourth moment theoremcomplex Hermite polynomialsWiener-Itô chaos decompositioncomplex Gaussian isonormal process

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (5)

Complex Wiener-Itô chaos decomposition revisited ⋮ Least-squares estimation for the Vasicek model driven by the complex fractional Brownian motion ⋮ Kernel representation formula: from complex to real Wiener-Itô integrals and vice versa ⋮ Unnamed Item ⋮ Parameter Estimation of Complex Fractional Ornstein-Uhlenbeck Processes with Fractional Noise

Cites Work

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• Asymptotic independence of multiple Wiener-Itô integrals and the resulting limit laws
• Fourth moment theorems for Markov diffusion generators
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
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• Multiple Wiener integral
• Normal Approximations with Malliavin Calculus
• The Malliavin Calculus and Related Topics
• Gaussian Hilbert Spaces
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