On the Gaussian approximation of vector-valued multiple integrals

DOI10.1016/j.jmva.2011.02.001zbMath1274.60072arXiv1009.1310MaRDI QIDQ538180

Ivan Nourdin, Salim Noreddine

Publication date: 23 May 2011

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1009.1310

zbMATH Keywords

cumulants; Malliavin calculus; central limit theorem; multiple integrals; Ornstein-Uhlenbeck semigroup

Mathematics Subject Classification ID

60G15: Gaussian processes

60F05: Central limit and other weak theorems

60H05: Stochastic integrals

60H07: Stochastic calculus of variations and the Malliavin calculus

Related Items

Unnamed Item, Nourdin-Peccati analysis on Wiener and Wiener-Poisson space for general distributions, An Edgeworth expansion for functionals of Gaussian fields and its applications, Fourth moment theorems on the Poisson space in any dimension, Approximation of Hilbert-valued gaussians on Dirichlet structures, The optimal third moment theorem, Total variation distance between stochastic polynomials and invariance principles, Convergence of densities of some functionals of Gaussian processes

Cites Work

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• Stein's method on Wiener chaos
• Cumulants on the Wiener space
• Multivariate normal approximation using Stein's method and Malliavin calculus
• Multiple stochastic integrals with dependent integrators
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• Central limit theorems for sequences of multiple stochastic integrals
• The Malliavin Calculus and Related Topics
• Stein's method meets Malliavin calculus: a short survey with new estimates