Convergence of the Fourth Moment and Infinite Divisibility

Abstract

In this note we prove that, for infinitely divisible laws, convergence of the fourth moment to 3 is sufficient to ensure convergence in law to the Gaussian distribution. Our results include infinitely divisible measures with respect to classical, free, Boolean and monotone convolution. A similar criterion is proved for compound Poissons with jump distribution supported on a finite number of atoms. In particular, this generalizes recent results of Nourdin and Poly.Comment: 10 page