English

On almost sure convergence of random variables with finite chaos decomposition

Probability 2019-10-24 v2 Functional Analysis

Abstract

Under mild conditions on a family of independent random variables (Xn)(X_n) we prove that almost sure convergence of a sequence of tetrahedral polynomial chaoses of uniformly bounded degrees in the variables (Xn)(X_n) implies the almost sure convergence of their homogeneous parts. This generalizes a recent result due to Poly and Zheng obtained under stronger integrability conditions. In particular for i.i.d. sequences we provide a simple necessary and sufficient condition for this property to hold. We also discuss similar phenomena for sums of multiple stochastic integrals with respect to Poisson processes, answering a question by Poly and Zheng.

Keywords

Cite

@article{arxiv.1909.09576,
  title  = {On almost sure convergence of random variables with finite chaos decomposition},
  author = {Radosław Adamczak},
  journal= {arXiv preprint arXiv:1909.09576},
  year   = {2019}
}

Comments

A few typos corrected