Stein's Lemma, Malliavin calculus, and tail bounds, with application to polymer fluctuation exponent

DOI10.1016/J.SPA.2009.07.002zbMATH Open1175.60056arXiv0901.0383OpenAlexW2095852781WikidataQ125054794 ScholiaQ125054794MaRDI QIDQ734658FDOQ734658

Authors: Frederi Viens 

Publication date: 13 October 2009

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

Abstract: We consider a random variable X satisfying almost-sure conditions involving G:=<DX,-DL^{-1}X> where DX is X's Malliavin derivative and L^{-1} is the inverse Ornstein-Uhlenbeck operator. A lower- (resp. upper-) bound condition on G is proved to imply a Gaussian-type lower (resp. upper) bound on the tail P[X>z]. Bounds of other natures are also given. A key ingredient is the use of Stein's lemma, including the explicit form of the solution of Stein's equation relative to the function 1_{x>z}, and its relation to G. Another set of comparable results is established, without the use of Stein's lemma, using instead a formula for the density of a random variable based on G, recently devised by the author and Ivan Nourdin. As an application, via a Mehler-type formula for G, we show that the Brownian polymer in a Gaussian environment which is white-noise in time and positively correlated in space has deviations of Gaussian type and a fluctuation exponent chi=1/2. We also show this exponent remains 1/2 after a non-linear transformation of the polymer's Hamiltonian.

Full work available at URL: https://arxiv.org/abs/0901.0383

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zbMATH Keywords

Malliavin calculusWiener chaosAnderson modelrandom mediapolymerStein's lemmafluctuation exponentsub-Gaussian

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Processes in random environments (60K37) Statistical mechanics of polymers (82D60)

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Cited In (10)

• Stein's method for invariant measures of diffusions via Malliavin calculus
• Nourdin-Peccati analysis on Wiener and Wiener-Poisson space for general distributions
• Stokes formula on the Wiener space and \(n\)-dimensional Nourdin-Peccati analysis
• The optimal fourth moment theorem
• Fisher information and the fourth moment theorem
• Weighted Poincaré inequalities, concentration inequalities and tail bounds related to Stein kernels in dimension one
• Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
• Entropy and the fourth moment phenomenon
• Comparison inequalities on Wiener space
• Influence of spatial correlation for directed polymers

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