Optimal Gaussian approximation for complex Wiener-Itô integrals

Source abstract

We study density regularity and optimal Gaussian approximation for complex multiple Wiener-Itô integrals. We first give a kernel criterion for absolute continuity and derive explicit formulas for the density and its derivatives, together with finite-order Sobolev estimates. Our main quantitative result shows that the sum of an intrinsic non-Gaussian term and the covariance mismatch gives the optimal rate simultaneously in every fixed Sobolev norm and in total variation, Kolmogorov and $1$-Wasserstein distances. The intrinsic term is determined by two complex third-order moments and the complex fourth-moment defect, and is equivalently described by complex kernel contractions. No additional Malliavin non-degeneracy assumption is imposed in these asymptotic results. As an application, we obtain explicit optimal rates for the normalized numerator in the least-squares estimator of a complex fractional Ornstein--Uhlenbeck process.