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arXiv · 1807.08642

Almost sure limit theorems on Wiener chaos: the non-central case

Ehsan Azmoodeh·Ivan Nourdin
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Abstract

In \cite{BNT}, a framework to prove almost sure central limit theorems for sequences $(G_n)$ belonging to the Wiener space was developed, with a particular emphasis of the case where $G_n$ takes the form of a multiple Wiener-It\^o integral with respect to a given isonormal Gaussian process. In the present paper, we complement the study initiated in \cite{BNT}, by considering the more general situation where the sequence $(G_n)$ may not need to converge to a Gaussian distribution. As an application, we prove that partial sums of Hermite polynomials of increments of fractional Brownian motion satisfy an almost sure limit theorem in the long-range dependence case, a problem left open in \cite{BNT}.

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Ehsan Azmoodeh, Ivan Nourdin. 2018-07-23. Almost sure limit theorems on Wiener chaos: the non-central case. https://arxiv.org/abs/1807.08642

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