Donsker's theorem in Wasserstein-1 distance

DOI10.1214/20-ECP308MaRDI QIDQ2183129zbMATH OpenOpenAlexFDO

Authors L. Coutin, Laurent Decreusefond

Publication date 26 May 2020

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1904.07045, https://projecteuclid.org/euclid.ecp/1585620027

zbMATH Keywords

Malliavin calculusWasserstein distanceStein's methodDonsker theorem

Mathematics Subject Classification ID

Gaussian processes (60G15) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07) Strong limit theorems (60F15)

Abstract: We compute the Wassertein-1 (or Kolmogorov-Rubinstein) distance between a random walk in $R^d$ and the Brownian motion. The proof is based on a new estimate of the Lipschitz modulus of the solution of the Stein's equation. As an application, we can evaluate the rate of convergence towards the local time at 0 of the Brownian motion.

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Cites work

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Cited in

(10)

• Diffusive limits of Lipschitz functionals of Poisson measures
• The Gromov-Wasserstein distance: a brief overview
• A Donsker theorem to simulate one-dimensional processes with measurable coefficients
• Stein's method, Gaussian processes and palm measures, with applications to queueing
• Malliavin-Stein method: a survey of some recent developments
• Stein's method for rough paths
• The Donsker's theorem for Lévy stable motions via Mallows distance
• Quantitative control of Wasserstein distance between Brownian motion and the Goldstein-Kac telegraph process
• Approximation for the Wasserstein distance
• Rates of convergence for the number of zeros of random trigonometric polynomials

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