Multiple Wiener-Itô integrals. With applications to limit theorems

DOI10.1007/978-3-319-02642-8zbMATH Open1301.60004OpenAlexW4234924739MaRDI QIDQ388754FDOQ388754

P. Major

Publication date: 6 January 2014

Published in: Lecture Notes in Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-02642-8

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zbMATH Keywords

stationary Gaussian fieldsnon-central limit theoremFeynman's diagramsrandom spectral measuresWick polynomialsmultiple Wiener-Itō integrals

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Central limit and other weak theorems (60F05) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Stochastic integrals (60H05) Self-similar stochastic processes (60G18)

Cited In (44)

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• Wiener functionals and probability limit theorems. II: Term-wise multiplication and its applications
• Solving SPDEs driven by colored noise: A chaos approach
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• On the fourth moment theorem for complex multiple Wiener–Itô integrals
• Asymptotic analysis of higher-order scattering transform of Gaussian processes
• Empirical limit theorems for Wiener chaos
• Stationarity and second-order properties of a scalar-valued nonlinear time series with Gaussian residuals
• Determinantal structures in the O'Connell-Yor directed random polymer model
• A coupled KPZ equation, its two types of approximations and existence of global solutions
• On the convergence to the multiple Wiener-Itô integral
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• Matching upper and lower moment bounds for a large class of stochastic PDEs driven by general space-time Gaussian noises
• Henstock's multiple Wiener integral and Henstock's version of Hu-Meyer theorem
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• A Wong–Zakai Type Approximation for Multiple Wiener–Stratonovich Integrals
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• Evolutionary transfer functions of bilinear processes with time-varying coefficients

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