Gaussian chaos and functional laws of the iterated logarithm for Itô- Wiener integrals
type: Item
instance of: scholarly article
title: Gaussian chaos and functional laws of the iterated logarithm for Itô- Wiener integrals
zbMATH Open document ID: 0805.60027
author: Jim Kuelbs
author: Victor W. Goodman
published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques
publication date: 1995-01-29T00:00:00Z
full work available at URL: http://www.numdam.org/item
full work available at URL: https://eudml.org/doc/77467
review text: The authors study random samples \(X_ 1, X_ 2,\dots\) of centered \(B\)- valued Gaussian chaos \(X= \sum_{i,j\geq 1} a_{ij} (g_ i g_ j- \delta_{ij})\), where \(a_{ij}\) are nonrandom elements of a separable Banach space \(B\) and \(g_ i\), \(i= 1,2,\dots\), is an i.i.d. sequence of stationary Gaussian random variables. It turns out that the random set \(E_ n= \{X_ 1,\dots, X_ n\}/2 \log n\) converges a.s. to a non- random compact set \(\Sigma\subset B\). The authors provide rates of convergence in a Hausdorff metric. Applications are given to multiple Wiener-Itô integrals, where \(B= C[0,T]\).
Mathematics Subject Classification ID: 60F17
Mathematics Subject Classification ID: 60H05
zbMATH DE Number: 566211
zbMATH Keywords: stationary Gaussian random variables
zbMATH Keywords: rates of convergence
zbMATH Keywords: Hausdorff metric
zbMATH Keywords: multiple Wiener-Itô integrals
reviewed by: Herold Dehling
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 566211