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Averaging Gaussian functionals

Nualart, David
; 
Zheng, Guangqu
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Abstract
This paper consists of two parts. In the first part, we focus on the average of a functional over shifted Gaussian homogeneous noise and as the averaging domain covers the whole space, we establish a Breuer-Major type Gaussian fluctuation based on various assumptions on the covariance kernel and/or the spectral measure. Our methodology for the first part begins with the application of Malliavin calculus around Nualart-Peccati’s Fourth Moment Theorem, and in addition we apply the Fourier techniques as well as a soft approximation argument based on Bessel functions of first kind. The same methodology leads us to investigate a closely related problem in the second part. We study the spatial average of a linear stochastic heat equation driven by space-time Gaussian colored noise. The temporal covariance kernel γ0 is assumed to be locally integrable in this paper. If the spatial covariance kernel is nonnegative and integrable on the whole space, then the spatial average admits the Gaussian fluctuation; with some extra mild integrability condition on γ0, we are able to provide a functional central limit theorem. These results complement recent studies on the spatial average for SPDEs. Our analysis also allows us to consider the case where the spatial covariance kernel is not integrable: For example, in the case of the Riesz kernel, the first chaotic component of the spatial average is dominant so that the Gaussian fluctuation also holds true.
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Date
2020-04-28
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Institute of Mathematical Statistics
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Mathematics Scholarly Works
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Keywords
Breuer-Major theorem, Malliavin calculus, Stochastic heat equation, Dalang’s condition, Riesz kernel, Central limit theorem
Citation
David Nualart. Guangqu Zheng. "Averaging Gaussian functionals." Electron. J. Probab. 25 1 - 54, 2020. https://doi.org/10.1214/20-EJP453
URI
https://hdl.handle.net/1808/33475
DOI
10.1214/20-EJP453
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