Asymptotic Cramer's theorem and analysis on Wiener space

DOI10.1007/978-3-642-15217-7_12MaRDI QIDQ3086804zbMATH OpenOpenAlexFDO

Authors Ciprian A. Tudor

Publication date 30 March 2011

Published in Séminaire de Probabilités XLIII (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1006.3922

zbMATH Keywords

Malliavin calculusStein's methodmultiple stochastic integralslimit theorems

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)

Abstract: We prove an asymptotic Cram'er's theorem, that is, if the sequence $(X_n+Y_n{)}_{ngeq1}$ converges in law to the standard normal distribution and for every $ngeq1$ the random variables $X_n$ and $Y_n$ are independent, then $(X_n{)}_{ngeq1}$ {it and } $(Y_n{)}_{ngeq1}$ converge in law to a normal distribution. Then we compare this result with recent criteria for the central convergence obtained in terms of Malliavin derivatives.

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