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

DOI10.3150/15-BEJ721MaRDI QIDQ726730zbMATHOpenAlexFDO

Authors A. Lanconelli, A. I. Stan

Publication date 14 July 2016

Published in Bernoulli (Search for Journal in Brave)

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

zbMATH Keywords

Wick productlocal limit theoremabstract Wiener spaceOrnstein-Uhlenbeck semigroup

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

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.

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Cites work

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Cited in

(8)

• scientific article; zbMATH DE number 850388 (Why is no real title available?)
• Prohorov-type local limit theorems on abstract Wiener spaces
• Local versions of the Wiener-Lévy theorem
• Local large deviation principle for Wiener process with random resetting
• A unified approach to local limit theorems in Gaussian spaces and the law of small numbers
• Absolute continuity and Fokker-Planck equation for the law of Wong-Zakai approximations of Itô's stochastic differential equations
• Standardizing densities on Gaussian spaces
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