Stein method for invariant measures of diffusions via Malliavin calculus

Kusuoka, Seiichiro; Tudor, Ciprian

Type de document :

Pré-publication ou Document de travail

Titre :

Stein method for invariant measures of diffusions via Malliavin calculus

Auteur(s) :

Kusuoka, Seiichiro [Auteur]
Tudor, Ciprian [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]

Discipline(s) HAL :

Mathématiques [math]/Probabilités [math.PR]

Résumé en anglais : [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 ...
Lire la suite >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.Lire moins >

Langue :

Anglais

Commentaire :

to appear in "Stochastic Processes and Their Applications"

Collections :