## The Annals of Probability

### Four moments theorems on Markov chaos

#### Abstract

We obtain quantitative four moments theorems establishing convergence of the laws of elements of a Markov chaos to a Pearson distribution, where the only assumption we make on the Pearson distribution is that it admits four moments. These results are obtained by first proving a general carré du champ bound on the distance between laws of random variables in the domain of a Markov diffusion generator and invariant measures of diffusions, which is of independent interest, and making use of the new concept of chaos grade. For the heavy-tailed Pearson distributions, this seems to be the first time that sufficient conditions in terms of (finitely many) moments are given in order to converge to a distribution that is not characterized by its moments.

#### Article information

Source
Ann. Probab., Volume 47, Number 3 (2019), 1417-1446.

Dates
Revised: March 2018
First available in Project Euclid: 2 May 2019

https://projecteuclid.org/euclid.aop/1556784023

Digital Object Identifier
doi:10.1214/18-AOP1287

Mathematical Reviews number (MathSciNet)
MR3945750

Zentralblatt MATH identifier
07067273

#### Citation

Bourguin, Solesne; Campese, Simon; Leonenko, Nikolai; Taqqu, Murad S. Four moments theorems on Markov chaos. Ann. Probab. 47 (2019), no. 3, 1417--1446. doi:10.1214/18-AOP1287. https://projecteuclid.org/euclid.aop/1556784023

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