Asymptotic Cramer's theorem and analysis on Wiener space

DOI10.1007/978-3-642-15217-7_12zbMATH Open1215.60019arXiv1006.3922OpenAlexW1616902633MaRDI QIDQ3086804FDOQ3086804

Authors: Ciprian A. Tudor 

Publication date: 30 March 2011

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

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.

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

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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)

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• Asymptotic Cramér type decomposition for Wiener and Wigner integrals
• Title not available (Why is that?)
• Nourdin-Peccati analysis on Wiener and Wiener-Poisson space for general distributions
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• Cramér theorem for gamma random variables

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