Weak convergence on Wiener space: targeting the first two chaoses

MaRDI QIDQ4612239zbMATHFDO

Authors Christian Krein

Publication date 22 January 2019

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

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)

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.

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Cited in

(5)

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

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