Multi-Dimensional Gaussian Fluctuations on the Poisson Space

We study multi-dimensional normal approximations on the Poisson space by means of Malliavin calculus, Stein's method and probabilistic interpolations. Our results yield new multi-dimensional central limit theorems for multiple integrals with respect to Poisson measures - thus significantly extending previous works by Peccati, Sole, Taqqu and Utzet. Several explicit examples (including in particular vectors of linear and non-linear functionals of Ornstein-Uhlenbeck Levy processes) are discussed in detail.

• Publication year

  2010

• Venue

  Electronic Journal of Probability

• Publication date

  2010-04-13

• Fields of study

  Mathematics

• Identifiers
  DOI 10.1214/EJP.V15-813arXiv 1004.2175
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

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