Probability approximation by Clark-Ocone covariance representation (Q388986)

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scientific article; zbMATH DE number 6247260
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    Probability approximation by Clark-Ocone covariance representation
    scientific article; zbMATH DE number 6247260

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      Probability approximation by Clark-Ocone covariance representation (English)
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      17 January 2014
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      The authors first show how a general integration by parts formula combined with the Stein-Chen method allows to obtain bounds on the total variation distance or on the Wasserstein distance between a random variable and the Gaussian standard variable. With the same tools, there is an analogous result with some more intricate distance when the Gaussian variable is replaced by a centered gamma variable. On Wiener or Poisson spaces, instead of dealing with the usual covariance representation based on the Ornstein-Uhlenbeck or number operator and its inverse, they use the Clark-Ocone representation formula which provides a covariance identity which may be simpler to compute. Then, they focus on the Poisson space and succeed in approximating some Poisson jump times functionals and multiple Poisson stochastic integrals. Another application of the general method is given for the normal approximation in total variation of the compound Poisson distribution.
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      Stein-Chen method
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      integration by parts formula
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      Wiener space
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      Poisson space
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      Clark-Ocone formula
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      total variation distance
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      Wasserstein distance
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      Malliavin calculus
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      Poisson stochastic integrals
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