Stein universality lemma for second-Wiener-chaos targets

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Let FF_\infty be a random variable in the second Wiener chaos, with associated differential operator A\mathcal{A}_\infty of order dd, and let H\mathcal{H} be an appropriate class of test functions. For hHh\in\mathcal{H}, consider the Stein equation

Af(x)=h(x)E[h(F)].\mathcal{A}_\infty f(x)=h(x)-\mathbb{E}[h(F_\infty)].

Stein universality lemma. For every hHh\in\mathcal{H}, this equation admits a bounded solution fhf_h that is dd times differentiable, with

fh(r)<+for r=1,,d,\lVert f_h^{(r)}\rVert_\infty<+\infty\qquad\text{for }r=1,\ldots,d,

and these bounds are independent of hh. 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 H\mathcal{H} and the asserted uniform bounds remain to be established.

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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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