A note on a local limit theorem for Wiener space valued random variables

DOI10.3150/15-BEJ721zbMATH Open1343.60016arXiv1503.06576OpenAlexW2963889889MaRDI QIDQ726730FDOQ726730

Authors: A. Lanconelli, A. I. Stan 

Publication date: 14 July 2016

Published in: Bernoulli (Search for Journal in Brave)

Abstract: We prove a local limit theorem, i.e. a central limit theorem for densities, for a sequence of independent and identically distributed random variables taking values on an abstract Wiener space; the common law of those random variables is assumed to be absolutely continuous with respect to the reference Gaussian measure. We begin by showing that the key roles of scaling operator and convolution product in this infinite dimensional Gaussian framework are played by the Ornstein-Uhlenbeck semigroup and Wick product, respectively. We proceed by establishing a necessary condition on the density of the random variables for the local limit theorem to hold true. We then reverse the implication and prove under an additional assumption the desired L1-convergence of the density of frac{X_1+...+X_n}{sqrt{n}}. We close the paper comparing our result with certain Berry-Esseen bounds for multidimensional central limit theorems.

Full work available at URL: https://arxiv.org/abs/1503.06576

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zbMATH Keywords

Wick productlocal limit theoremabstract Wiener spaceOrnstein-Uhlenbeck semigroup

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

Cites Work

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Cited In (8)

• Absolute continuity and Fokker-Planck equation for the law of Wong-Zakai approximations of Itô's stochastic differential equations
• Local versions of the Wiener-Lévy theorem
• Prohorov-type local limit theorems on abstract Wiener spaces
• Local large deviation principle for Wiener process with random resetting
• Standardizing densities on Gaussian spaces
• A unified approach to local limit theorems in Gaussian spaces and the law of small numbers
• Title not available (Why is that?)
• Title not available (Why is that?)

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