Almost sure convergence on chaoses

Abstract

We present several new phenomena about almost sure convergence on homogeneous chaoses that include Gaussian Wiener chaos and homogeneous sums in independent random variables. Concretely, we establish the fact that almost sure convergence on a fixed finite sum of chaoses forces the almost sure convergence of each chaotic component. Our strategy uses “extra randomness” and a simple conditioning argument. These ideas are close to the spirit of Stein’s method of exchangeable pairs. Some natural questions are left open in this note.