Malliavin-Stein method: a survey of some recent developments

DOI10.15559/21-VMSTA184MaRDI QIDQ2239800zbMATH OpenFDO

Authors Ehsan Azmoodeh, Giovanni Peccati, Xiaochuan Yang

Publication date 5 November 2021

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1809.01912

zbMATH Keywords

Berry-Essen boundseigenfunctioneigenspacefourth moment theoremsfunctional \(\Gamma \)-calculuslimit theoremsMalliavin calculusMarkov generatorMarkov triplemultiple integralPoisson spaceprobability metricsspectrumStein's methodweak convergenceWiener space

Mathematics Subject Classification ID

Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Eigenfunctions, eigenfunction expansions, completeness of eigenfunctions of ordinary differential operators (34L10) Spectrum, resolvent (47A10) Markov semigroups and applications to diffusion processes (47D07) Convergence of probability measures (60B10) Central limit and other weak theorems (60F05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Abstract: Initiated around the year 2007, the Malliavin-Stein approach to probabilistic approximations combines Stein's method with infinite-dimensional integration by parts formulae based on the use of Malliavin-type operators. In the last decade, Malliavin-Stein techniques have allowed researchers to establish new quantitative limit theorems in a variety of domains of theoretical and applied stochastic analysis. The aim of this survey is to illustrate some of the latest developments of the Malliavin-Stein method, with specific emphasis on extensions and generalisations in the framework of Markov semigroups and of random point measures.

Recommendations

• Normal approximations with Malliavin calculus. From Stein's method to universality
• Stein's method meets Malliavin calculus: a short survey with new estimates
• The Stein-Dirichlet-Malliavin method
• Stein's method, Malliavin calculus, Dirichlet forms and the fourth moment theorem
• Stein meets Malliavin in normal approximation

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Cited in

(10)

• On algebraic Stein operators for Gaussian polynomials
• Optimal variance-Gamma approximation on the second Wiener chaos
• The Stein-Dirichlet-Malliavin method
• Lectures on Gaussian Approximations with Malliavin Calculus
• Stein's method meets Malliavin calculus: a short survey with new estimates
• Stein's method for invariant measures of diffusions via Malliavin calculus
• The Malliavin–Stein Method on the Poisson Space
• On k-clusters of high-intensity random geometric graphs
• Quasi-likelihood estimation for stochastic fractional heat equation
• Quantitative CLTs on the Poisson space via Skorohod estimates and p-Poincaré inequalities

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