Stein's method for invariant measures of diffusions via Malliavin calculus
From MaRDI portal
Publication:424492
DOI10.1016/j.spa.2012.02.005zbMath1242.60023arXiv1109.0684MaRDI QIDQ424492
Seiichiro Kusuoka, Ciprian A. Tudor
Publication date: 1 June 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1109.0684
weak convergence; Malliavin calculus; Stein's method; invariant measure; diffusions; multiple stochastic integrals; Berry; Esseen bounds
91G70: Statistical methods; risk measures
60F05: Central limit and other weak theorems
60H05: Stochastic integrals
60H07: Stochastic calculus of variations and the Malliavin calculus
Related Items
Beyond Heavy-Traffic Regimes: Universal Bounds and Controls for the Single-Server Queue, Optimal Gamma Approximation on Wiener Space, Quantitative stable limit theorems on the Wiener space, Nourdin-Peccati analysis on Wiener and Wiener-Poisson space for general distributions, Identifying the limiting distribution by a general approach of Stein's method, Approximation of stable law in Wasserstein-1 distance by Stein's method, Stein characterizations for linear combinations of gamma random variables, Stein operators for variables form the third and fourth Wiener chaoses, The Gamma Stein equation and noncentral de Jong theorems, An algebra of Stein operators, A bound on the Wasserstein-2 distance between linear combinations of independent random variables, Some new Stein operators for product distributions, On algebraic Stein operators for Gaussian polynomials, Non-integrable stable approximation by Stein's method, First-order covariance inequalities via Stein's method, Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates, Asymptotic expansion of Skorohod integrals, Four moments theorems on Markov chaos, Chaos expansion and asymptotic behavior of the Pareto distribution, On the fourth moment theorem for complex multiple Wiener–Itô integrals
Cites Work
- Unnamed Item
- Unnamed Item
- Stein's Lemma, Malliavin calculus, and tail bounds, with application to polymer fluctuation exponent
- Noncentral convergence of multiple integrals
- Stein's method on Wiener chaos
- Asymptotic behavior of weighted quadratic variations of fractional Brownian motion: the critical case \(H=1/4\)
- Density formula and concentration inequalities with Malliavin calculus
- Stein's method for diffusion approximations
- Diffusion-type models with given marginal distribution and autocorrelation function
- Simplified Estimating Functions for Diffusion Models with a High‐dimensional Parameter
- The Malliavin Calculus and Related Topics
- Stein's method meets Malliavin calculus: a short survey with new estimates
- Nonparametric Pricing of Interest Rate Derivative Securities
- General Upper and Lower Tail Estimates Using Malliavin Calculus and Stein’s Equations