English

Stable convergence of multiple Wiener-It\^{o} integrals

Probability 2007-05-23 v1

Abstract

We prove sufficient conditions, ensuring that a sequence of multiple Wiener-It\^{o} integrals (with respect to a general Gaussian process) converges stably to a mixture of normal distributions. Our key tool is an asymptotic decomposition of contraction kernels, realized by means of increasing families of projection operators. We also use an infinite-dimensional Clark-Ocone formula, as well as a version of the correspondence between "abstract" and "concrete" filtered Wiener spaces, in a spirit similar to \"{U}st\"{u}nel and Zakai (1997).

Keywords

Cite

@article{arxiv.math/0604530,
  title  = {Stable convergence of multiple Wiener-It\^{o} integrals},
  author = {Giovanni Peccati and Murad S. Taqqu},
  journal= {arXiv preprint arXiv:math/0604530},
  year   = {2007}
}

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31 pages