Yet another proof of the Nualart-Peccati criterion

DOI10.1214/ECP.V16-1642zbMATH Open1253.60068arXiv1107.3252OpenAlexW2152735716MaRDI QIDQ428677FDOQ428677

Ivan Nourdin

Publication date: 22 June 2012

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: In 2005, Nualart and Peccati showed that, surprisingly, the convergence in distribution of a normalized sequence of multiple Wiener-It^o integrals towards a standard Gaussian law is equivalent to convergence of just the fourth moment to 3. Recently, this result has been extended to a sequence of multiple Wigner integrals, in the context of free Brownian motion. The goal of the present paper is to offer an elementary, unifying proof of these two results. The only advanced, needed tool is the product formula for multiple integrals. Apart from this formula, the rest of the proof only relies on soft combinatorial arguments.

Full work available at URL: https://arxiv.org/abs/1107.3252

Recommendations

• Generalization of the Nualart-Peccati criterion
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
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zbMATH Keywords

Brownian motion[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=multiple+Wiener-It%EF%BF%BD%EF%BF%BD+integrals&go=Go multiple Wiener-It�� integrals]Nualart-Peccati criterionfree Brownian motionmultiple Wigner integralsproduct formula

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (7)

• Generalization of the Nualart-Peccati criterion
• Invariance principles for homogeneous sums of free random variables
• On the fourth moment theorem for complex multiple Wiener–Itô integrals
• Poisson approximations on the free Wigner chaos
• Multi-dimensional Semicircular Limits on the Free Wigner Chaos
• Fourth moment theorems for Markov diffusion generators
• Semicircular limits on the free Poisson chaos: counterexamples to a transfer principle

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