Stein universality lemma for second-Wiener-chaos targets
Let be a random variable in the second Wiener chaos, with associated differential operator of order , and let be an appropriate class of test functions. For , consider the Stein equation
Stein universality lemma. For every , this equation admits a bounded solution that is times differentiable, with
and these bounds are independent of . The lemma is intended to provide the non-Gaussian counterpart of Stein's characterization and would complete the Stein part of the approach in this setting; the appropriate class and the asserted uniform bounds remain to be established.
References
Primary source
Ehsan Azmoodeh, Giovanni Peccati and Xiaochuan Yang, “Malliavin-Stein Method: a Survey of Recent Developments”, arXiv:1809.01912 (2021).
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