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arXiv 1701.03120math.PR
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Poisson空间上的四阶矩定理

The fourth moment theorem on the Poisson space

Christian Döbler, Giovanni Peccati

摘要:

证明了一般Poisson随机测度的Wiener混沌中随机变量的正态逼近的精确四阶矩界。这一结果-几年来一直难以捉摸-表明,Nualart和Peccati(2005年)在高斯场背景下首次发现的所谓“四阶矩现象”也系统地出现在泊松框架中。我们的主要研究结果是基于斯坦的方法,Malliavin演算和Mecke型公式,以及在方法上的突破,包括在使用carré-du-champ运营商的泊松空间控制剩余条款与添加一个成本运营商。我们的方法可以被视为马尔可夫生成器技术在非扩散框架中概率近似的成功应用:因此,它代表了Ledoux(2012)和Azmoodeh,Campese和Poly(2014)的开创性贡献的重要扩展。为了证明我们的结果的灵活性,我们还提供了一些新的边界的非线性泛函的泊松测度的Gamma逼近。

英文摘要:

We prove an exact fourth moment bound for the normal approximation of random variables belonging to the Wiener chaos of a general Poisson random measure. Such a result -- that has been elusive for several years -- shows that the so-called `fourth moment phenomenon', first discovered by Nualart and Peccati (2005) in the context of Gaussian fields, also systematically emerges in a Poisson framework. Our main findings are based on Stein's method, Malliavin calculus and Mecke-type formulae, as well as on a methodological breakthrough, consisting in the use of carré-du-champ operators on the Poisson space for controlling residual terms associated with add-one cost operators. Our approach can be regarded as a successful application of Markov generator techniques to probabilistic approximations in a non-diffusive framework: as such, it represents a significant extension of the seminal contributions by Ledoux (2012) and Azmoodeh, Campese and Poly (2014). To demonstrate the flexibility of our results, we also provide some novel bounds for the Gamma approximation of non-linear functionals of a Poisson measure.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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