Wiener chaos: Moments, cumulants and diagrams. A survey with computer implementation

DOI10.1007/978-88-470-1679-8zbMATH Open1231.60003OpenAlexW1422901211MaRDI QIDQ971780FDOQ971780

Authors: Giovanni Peccati, Murad S. Taqqu 

Publication date: 17 May 2010

Published in: Bocconi \& Springer Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-88-470-1679-8

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zbMATH Keywords

central limit theoremsrandom measuremultiple stochastic integralGaussian and Poisson multiple integralHermite and Charlier polynomialsmoments and cumulantspartitions of a finite setMöbius inversion formulaItô-Wiener chaos

Mathematics Subject Classification ID

Gaussian processes (60G15) Central limit and other weak theorems (60F05) Software, source code, etc. for problems pertaining to probability theory (60-04) Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Partitions of sets (05A18) Random measures (60G57) Stochastic processes (60G99) Numerical computation of solutions to single equations (65H05)

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• Representations of Hermite processes using local time of intersecting stationary stable regenerative sets
• Weak universality of dynamical \(\Phi ^4_3\): non-Gaussian noise
• On high-frequency limits of \(U\)-statistics in Besov spaces over compact manifolds
• Invariance of Poisson point processes by moment identities with statistical applications
• On the Ornstein-Zernike equation for stationary cluster processes and the random connection model
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• Interlacing adjacent levels of \(\beta\)-Jacobi corners processes
• Lévy Systems and Moment Formulas for Mixed Poisson Integrals
• Necessary and sufficient conditions for limit theorems for quadratic variations of Gaussian sequences
• Malliavin Calculus for Stochastic Processes and Random Measures with Independent Increments
• On the range of the transient frog model on \(\mathbb{Z}\)
• Complex Wiener-Itô chaos decomposition revisited
• Limit theorems for conservative flows on multiple stochastic integrals
• The method of cumulants for the normal approximation
• Fluctuations around a homogenised semilinear random PDE
• Testing goodness of fit for point processes via topological data analysis
• Limit theorems for long-memory flows on Wiener chaos
• On normal approximations for the two-sample problem on multidimensional tori
• Asymptotics of discrete \(\beta \)-corners processes via two-level discrete loop equations
• Asymptotic behaviour of level sets of needlet random fields
• Asymptotic variance of the number of real roots of random polynomial systems
• Infinitesimal invariance of completely Random Measures for 2D Euler Equations
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• Poisson convergence on the free Poisson algebra
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• Decomposition and limit theorems for a class of self-similar Gaussian processes
• Limit theorems for integral functionals of Hermite-driven processes
• Monops, monoids and operads: the combinatorics of Sheffer polynomials
• Cumulants on Wiener chaos: moderate deviations and the fourth moment theorem
• On photon statistics parametrized by a non-central Wishart random matrix
• Sojourn functionals for spatiotemporal Gaussian random fields with long memory
• Central limit theorems for generic lattice point counting
• The algebra of interpolatory cubature formulæ for generic nodes
• Realized cumulants for martingales
• Scaling limit of a directed polymer among a Poisson field of independent walks
• Non-central limit theorems for functionals of random fields on hypersurfaces
• Combinatorics of Poisson Stochastic Integrals with Random Integrands
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• Rosenblatt distribution subordinated to Gaussian random fields with long-range dependence
• Limit theorems for Toeplitz-type quadratic functionals of stationary processes and applications
• Cluster expansions for Gibbs point processes
• Tail asymptotics of an infinitely divisible space-time model with convolution equivalent Lévy measure
• Global universality of Macdonald plane partitions
• Central limit theorem for the volume of the zero set of Kostlan-Shub-Smale random polynomial systems
• Log-Gaussian Cox processes in infinite-dimensional spaces
• Asymptotic normality of high level-large time crossings of a Gaussian process
• Infinite-dimensional divergence information analysis
• The multivariate functional de Jong CLT
• The defect of random hyperspherical harmonics
• Signature cumulants, ordered partitions, and independence of stochastic processes
• Approximation of the Rosenblatt process by semimartingales
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• Fourier transform on high-dimensional unitary groups with applications to random tilings
• Properties and numerical evaluation of the Rosenblatt distribution
• Sojourn measures of Student and Fisher-Snedecor random fields
• MULTIVARIATE LIMIT THEOREMS IN THE CONTEXT OF LONG‐RANGE DEPENDENCE
• Wiener chaos and the Cox–Ingersoll–Ross model
• High-frequency asymptotics for Lipschitz-Killing curvatures of excursion sets on the sphere
• Second-order properties and central limit theorems for geometric functionals of Boolean models
• A technique for computing the PDFs and CDFs of nonnegative infinitely divisible random variables
• Multidimensional limit theorems for homogeneous sums: a survey and a general transfer principle
• Asymptotic expansion for some local volatility models arising in finance
• Permutation invariant functionals of Lévy processes
• Regularization and integral representations of Hermite processes
• Convergence of long-memory discrete \(k\)th order Volterra processes
• Normal approximation of Poisson functionals in Kolmogorov distance
• Simulation of BSDEs with jumps by Wiener chaos expansion
• Summability of connected correlation functions of coupled lattice fields
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• Classical and free fourth moment theorems: universality and thresholds
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• Chaos of a Markov operator and the fourth moment condition
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• CLT for the zeros of classical random trigonometric polynomials
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Uses Software

• Mathematica

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