Convergence in total variation on Wiener chaos

Let { F n } be a sequence of random variables belonging to a finite sum of Wiener chaoses. Assume further that it converges in distribution towards F ∞ satisfying V ar ( F ∞ ) > 0 . Our first result is a sequential version of a theorem by Shigekawa (1980) [23]. More precisely, we prove, without additional assumptions, that the sequence { F n } actually converges in total variation and that the law of F ∞ is absolutely continuous. We give an application to discrete non-Gaussian chaoses. In a second part, we assume that each F n has more specifically the form of a multiple Wiener–Itô integral (of a fixed order) and that it converges in L 2 ( Ω ) towards F ∞ . We then give an upper bound for the distance in total variation between the laws of F n and F ∞ . As such, we recover an inequality due to Davydov and Martynova (1987) [5]; our rate is weaker compared to Davydov and Martynova (1987) [5] (by a power of 1/2), but the advantage is that our proof is not only sketched as in Davydov and Martynova (1987) [5]. Finally, in a third part we show that the convergence in the celebrated Peccati–Tudor theorem actually holds in the total variation topology.