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

DOI10.1016/J.SPA.2009.07.002MaRDI QIDQ734658zbMATHOpenAlexWikidataFDO

Authors Frederi Viens

Publication date 13 October 2009

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

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

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)

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.

Recommendations

• General Upper and Lower Tail Estimates Using Malliavin Calculus and Stein’s Equations
• The Stein-Dirichlet-Malliavin method
• Stein's method on Wiener chaos
• Stein's method for invariant measures of diffusions via Malliavin calculus
• Stein meets Malliavin in normal approximation

Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3617260 (Why is no real title available?)
• scientific article; zbMATH DE number 3438144 (Why is no real title available?)
• scientific article; zbMATH DE number 1952026 (Why is no real title available?)
• An Introduction to Stein's Method
• An introduction to analysis on Wiener space
• Central limit theorems for multiple stochastic integrals and Malliavin calculus
• Density formula and concentration inequalities with Malliavin calculus
• Exponential divergence estimates and heat kernel tail.
• LYAPUNOV EXPONENTS FOR STOCHASTIC ANDERSON MODELS WITH NON-GAUSSIAN NOISE
• Normal approximations by Stein's method
• On the Brownian-directed polymer in a Gaussian random environment
• Second order Poincaré inequalities and CLTs on Wiener space
• Sharp estimation of the almost-sure Lyapunov exponent for the Anderson model in continuous space
• Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
• Stein's method for concentration inequalities
• Stein's method on Wiener chaos
• Superdiffusivity for a Brownian polymer in a continuous Gaussian environment
• Supremum concentration inequality and modulus of continuity for sub-\(n\)th chaos processes
• The Malliavin Calculus and Related Topics

Cited in

(11)

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

This page was built for publication: Stein's Lemma, Malliavin calculus, and tail bounds, with application to polymer fluctuation exponent

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q734658)