Weak convergence on Wiener space: targeting the first two chaoses

zbMATH Open1405.60032arXiv1701.06766MaRDI QIDQ4612239FDOQ4612239

Authors: Christian Krein 

Publication date: 22 January 2019

Abstract: We consider sequences of random variables living in a finite sum of Wiener chaoses. We find necessary and sufficient conditions for convergence in law to a target variable living in the sum of the first two Wiener chaoses. Our conditions hold notably for sequences of multiple Wiener integrals. Malliavin calculus and in particular the Gamma-operators are used. Our results extend previous findings by Azmoodeh, Peccati and Poly (2014) and are applied to central and non-central convergence situations. Our methods are applied as well to investigate stable convergence. We finally exclude certain classes of random variables as target variables for sequences living in a fixed Wiener chaos.

Full work available at URL: https://arxiv.org/abs/1701.06766

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zbMATH Keywords

Malliavin calculusweak convergenceBrownian motionlimit theoremsstable convergencecumulantsmultiple Wiener integrals

Mathematics Subject Classification ID

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

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Cited In (4)

• A bound on the Wasserstein-2 distance between linear combinations of independent random variables
• Convergence in law in the second Wiener/Wigner chaos
• Convergence in total variation on Wiener chaos
• Malliavin-Stein method: a survey of some recent developments

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