Stein method for invariant measures of ...
Document type :
Pré-publication ou Document de travail
Title :
Stein method for invariant measures of diffusions via Malliavin calculus
Author(s) :
HAL domain(s) :
Mathématiques [math]/Probabilités [math.PR]
English abstract : [en]
Given a random variable $F$ regular enough in the sense of the Malliavin calculus, we are able to measure the distance between its law and almost any continuous probability law on the real line. The bounds are given in ...
Show more >Given a random variable $F$ regular enough in the sense of the Malliavin calculus, we are able to measure the distance between its law and almost any continuous probability law on the real line. The bounds are given in terms of the Malliavin derivative of $F$. Our approach is based on the theory of Itô diffusions and the stochastic calculus of variations. Several examples are considered in order to illustrate our general results.Show less >
Show more >Given a random variable $F$ regular enough in the sense of the Malliavin calculus, we are able to measure the distance between its law and almost any continuous probability law on the real line. The bounds are given in terms of the Malliavin derivative of $F$. Our approach is based on the theory of Itô diffusions and the stochastic calculus of variations. Several examples are considered in order to illustrate our general results.Show less >
Language :
Anglais
Comment :
to appear in "Stochastic Processes and Their Applications"
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