On the second order Poincaré inequality and CLT on Wiener-Poisson space

Details On the second order Poincaré inequality and CLT on Wiener-Poisson space On the second order Poincaré inequality and CLT on Wiener-Poisson space

2011-04-11

arxiv.org/abs/1104.1837v3

Mathematics

Probability

Scientific paper

An upper bound for the Wasserstein distance is provided in the general framework of the Wiener-Poisson space. Is obtained from this bound a second order Poincar\'e-type inequality which is useful in terms of computations. For completeness sake, is made a survey of these results on the Wiener space, the Poisson space, and the Wiener-Poisson space, and showed several applications to central limit theorems with relevant examples: linear functionals of Gaussian subordinated field (where the subordinated field can be processes like fractional Brownian motion or the solution of the Ornstein-Uhlenbeck SDE driven by fractional Brownian motion), Poisson functionals in the first Poisson chaos restricted to \small" jumps (particularly fractional L\'evy processes) and the product of two Ornstein-Uhlenbeck processes (one in the Wiener space and the other in the Poisson space). Also, are obtained bounds for their rate of convergence to normality.

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