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

DOI10.1142/S0219025717500059zbMATH Open1361.60015arXiv1408.1817OpenAlexW3099751065MaRDI QIDQ2974265FDOQ2974265

Authors:

Publication date: 6 April 2017

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

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.

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

Recommendations

• On the moments of a multiple wiener-ito integral and the space induced by the polynomials of the integral
• scientific article; zbMATH DE number 898374
• Multiple Wiener-Itô integrals. With applications to limit theorems
• scientific article; zbMATH DE number 4137119
• On Distributions of Multiple Wiener–ITô Integrals
• On the convergence to the multiple Wiener-Itô integral
• scientific article; zbMATH DE number 898371
• The non-uniform Riemann approach to the multiple Itô-Wiener integral
• Product Formula and Independence for Complex Multiple Wiener-Itô Integrals

zbMATH Keywords

central limit theoremfourth moment theoremcomplex Hermite polynomialscomplex Gaussian isonormal processmultiple Wiener-Itô integralsWiener-Itô chaos decomposition

Mathematics Subject Classification ID

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

Cites Work

• The Malliavin Calculus and Related Topics
• Title not available (Why is that?)
• Title not available (Why is that?)
• Central limit theorems for sequences of multiple stochastic integrals
• Title not available (Why is that?)
• Stein's method on Wiener chaos
• Convergence in total variation on Wiener chaos
• Introduction to stochastic integration.
• Normal approximations with Malliavin calculus. From Stein's method to universality
• Absolute continuity and convergence of densities for random vectors on Wiener chaos
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• Stein's method for invariant measures of diffusions via Malliavin calculus
• Title not available (Why is that?)
• Stochastic analysis in discrete and continuous settings. With normal martingales.
• Fourth moment theorems for Markov diffusion generators
• Yet another proof of the Nualart-Peccati criterion
• Title not available (Why is that?)
• Chaos of a Markov operator and the fourth moment condition
• Noncentral convergence of multiple integrals
• Multivariate normal approximation using Stein's method and Malliavin calculus
• Convergence of densities of some functionals of Gaussian processes
• Multiple Wiener integral
• Asymptotic independence of multiple Wiener-Itô integrals and the resulting limit laws
• Title not available (Why is that?)
• Title not available (Why is that?)
• Gaussian Hilbert Spaces
• Title not available (Why is that?)
• On the eigenfunctions of the complex Ornstein-Uhlenbeck operators

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

This page was built for publication: On the fourth moment theorem for complex multiple Wiener–Itô integrals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2974265)