Lectures on Gaussian Approximations with Malliavin Calculus
From MaRDI portal
Publication:2865101
Convergence of probability measures (60B10) Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Research exposition (monographs, survey articles) pertaining to probability theory (60-02)
Abstract: In a seminal paper of 2005, Nualart and Peccati discovered a surprising central limit theorem (called the "Fourth Moment Theorem" in the sequel) for sequences of multiple stochastic integrals of a fixed order: in this context, convergence in distribution to the standard normal law is equivalent to convergence of just the fourth moment. Shortly afterwards, Peccati and Tudor gave a multidimensional version of this characterization. Since the publication of these two beautiful papers, many improvements and developments on this theme have been considered. Among them is the work by Nualart and Ortiz-Latorre, giving a new proof only based on Malliavin calculus and the use of integration by parts on Wiener space. A second step is my joint paper "Stein's method on Wiener chaos" (written in collaboration with Peccati) in which, by bringing together Stein's method with Malliavin calculus, we have been able (among other things) to associate quantitative bounds to the Fourth Moment Theorem. It turns out that Stein's method and Malliavin calculus fit together admirably well. Their interaction has led to some remarkable new results involving central and non-central limit theorems for functionals of infinite-dimensional Gaussian fields. The current survey aims to introduce the main features of this recent theory. It originates from a series of lectures I delivered at the Coll`ege de France between January and March 2012, within the framework of the annual prize of the Fondation des Sciences Math'ematiques de Paris. It may be seen as a teaser for the book "Normal Approximations Using Malliavin Calculus: from Stein's Method to Universality" (jointly written with Peccati), in which the interested reader will find much more than in this short survey.
Recommendations
- Normal approximations with Malliavin calculus. From Stein's method to universality
- Stein meets Malliavin in normal approximation
- Stein's method, Malliavin calculus, Dirichlet forms and the fourth moment theorem
- An introduction to the Malliavin calculus and its applications
- Malliavin calculus and normal approximations
- Stein's method meets Malliavin calculus: a short survey with new estimates
- Multivariate normal approximation using Stein's method and Malliavin calculus
- Selected topics in Malliavin calculus. Chaos, divergence and so much more
- Malliavin-Stein method: a survey of some recent developments
- scientific article; zbMATH DE number 5984144
Cited in
(26)- Berry-Esseen bounds and almost sure CLT for the quadratic variation of the bifractional Brownian motion
- Quantitative fourth moment theorem of functions on the Markov triple and orthogonal polynomials
- The optimal fourth moment theorem
- Yet another proof of the Nualart-Peccati criterion
- Fourth moment bound and stationary Gaussian processes with positive correlation
- Normal approximation on a finite Wiener chaos
- An Edgeworth expansion for functionals of Gaussian fields and its applications
- A simple proof of Berry-Esséen bounds for the quadratic variation of the subfractional Brownian motion
- Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency
- Exchangeable pairs on Wiener chaos
- A new central limit theorem and decomposition for Gaussian polynomials, with an application to deterministic approximate counting
- Berry-Esseen bounds in the Breuer-major CLT and Gebelein's inequality
- Stable limit theorems on the Poisson space
- Quantitative CLTs on a Gaussian space: a survey of recent developments
- New central limit theorems for functionals of Gaussian processes and their applications
- Malliavin-Stein method: a survey of some recent developments
- Central limit theorems for multiple stochastic integrals and Malliavin calculus
- Stein meets Malliavin in normal approximation
- Convergence rate of CLT for the estimation of Hurst parameter of fractional Brownian motion
- An improved second-order Poincaré inequality for functionals of Gaussian fields
- Strong asymptotic independence on Wiener chaos
- Stein's method, Malliavin calculus, Dirichlet forms and the fourth moment theorem
- Optimal Berry-Esseen bound for statistical estimations and its application to SPDE
- Stein approximation for functionals of independent random sequences
- scientific article; zbMATH DE number 7173917 (Why is no real title available?)
- Lectures on Gaussian Processes
This page was built for publication: Lectures on Gaussian Approximations with Malliavin Calculus
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2865101)
