Normal convergence using Malliavin calculus with applications and examples

DOI10.1080/07362994.2017.1400916zbMath1390.60197arXiv1712.04098OpenAlexW2963999710MaRDI QIDQ4639174

Juan José Víquez R

Publication date: 3 May 2018

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1712.04098

zbMATH Keywords

fractional Brownian motionMalliavin calculusOrnstein-Uhlenbeck processcentral limit theoremWiener-Poisson spacelevy processes

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Multi-dimensional Gaussian fluctuations on the Poisson space
• Stein's method on Wiener chaos
• Transformation formulas for fractional Brownian motion
• Malliavin calculus on the Wiener-Poisson space and its application to canonical SDE with jumps
• On the infinitesimal generators of Ornstein-Uhlenbeck processes with jumps in Hilbert space
• Canonical Lévy process and Malliavin calculus
• Stein's method and normal approximation of Poisson functionals
• Cumulants on the Wiener space
• Multivariate normal approximation using Stein's method and Malliavin calculus
• Second order Poincaré inequalities and CLTs on Wiener space
• Malliavin calculus in Lévy spaces and applications to finance.
• The Malliavin calculus for pure jump processes and applications to local time
• White noise analysis for Lévy processes.
• Fractional {O}rnstein-{U}hlenbeck processes
• Chaotic and predictable representations for Lévy processes.
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• Central limit theorems for sequences of multiple stochastic integrals
• Fractional Lévy processes with an application to long memory moving average processes
• Approximations of small jumps of Lévy processes with a view towards simulation
• Universal Malliavin Calculus in Fock and L\'{e}vy-It\^{o} Spaces
• Fractional Lévy Processes as a Result of Compact Interval Integral Transformation
• Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
• The Malliavin Calculus and Related Topics
• Stein's method meets Malliavin calculus: a short survey with new estimates
• Periodic Ornstein-Uhlenbeck processes driven by Lévy processes
• Lévy Processes and Stochastic Calculus
• The Malliavin–Stein Method on the Poisson Space

This page was built for publication: Normal convergence using Malliavin calculus with applications and examples