Regularization lemmas and convergence in total variation

DOI10.1214/20-EJP481MaRDI QIDQ782822zbMATH OpenOpenAlexWikidataFDO

Authors Vlad Bally, Lucia Caramellino, Guillaume Poly

Publication date 29 July 2020

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

Full work available at URL https://arxiv.org/abs/1907.12328, https://projecteuclid.org/euclid.ejp/1593828035

zbMATH Keywords

Wasserstein distancetotal variation distanceregularization techniquesabstract Malliavin calculus

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Probability theory on linear topological spaces (60B11) Diffusion processes (60J60)

Abstract: We provide a simple abstract formalism of integration by parts under which we obtain some regularization lemmas. These lemmas apply to any sequence of random variables $(F_n)$ which are smooth and non-degenerated in some sense and enable one to upgrade the distance of convergence from smooth Wasserstein distances to total variation in a quantitative way. This is a well studied topic and one can consult for instance Bally and Caramellino [Electron. J. Probab. 2014], Bogachev, Kosov and Zelenov [Trans. Amer. Math. Soc. 2018], Hu, Lu and Nualart [J. Funct. Anal. 2014], Nourdin and Poly [Stoch. Proc. Appl. 2013] and the references therein for an overview of this issue. Each of the aforementioned references share the fact that some non-degeneracy is required along the whole sequence. We provide here the first result removing this costly assumption as we require only non-degeneracy at the limit. The price to pay is to control the smooth Wasserstein distance between the Malliavin matrix of the sequence and the Malliavin matrix of the limit which is particularly easy in the context of Gaussian limit as their Malliavin matrix is deterministic. We then recover, in a slightly weaker form, the main findings of Nourdin, Peccati and Swan [J. Funct. Anal. 2014]. Another application concerns the approximation of the semi-group of a diffusion process by the Euler scheme in a quantitative way and under the H"ormander condition.

Recommendations

• Convergence in total variation on Wiener chaos
• scientific article; zbMATH DE number 1409879
• On the distances between probability density functions
• Convergence and regularity of probability laws by using an interpolation method
• A Tool in Establishing Total Variation Convergence

Cites work

• scientific article; zbMATH DE number 4149279 (Why is no real title available?)
• scientific article; zbMATH DE number 46016 (Why is no real title available?)
• scientific article; zbMATH DE number 3620603 (Why is no real title available?)
• scientific article; zbMATH DE number 797357 (Why is no real title available?)
• scientific article; zbMATH DE number 6470865 (Why is no real title available?)
• Analysis and geometry of Markov diffusion operators
• Asymptotic development for the CLT in total variation distance
• Asymptotic independence of multiple Wiener-Itô integrals and the resulting limit laws
• Canonical Lévy process and Malliavin calculus
• Chaotic and variational calculus in discrete and continuous time for the poisson process
• Convergence in distribution norms in the CLT for non identical distributed random variables
• Convergence in total variation on Wiener chaos
• Convergence of densities of some functionals of Gaussian processes
• Dirichlet forms methods for Poisson point measures and Lévy processes. With emphasis on the creation-annihilation techniques
• Edgeworth type expansions for Euler schemes for stochastic differential equations.
• Entropy and the fourth moment phenomenon
• Euler scheme and tempered distributions
• Expansion of the global error for numerical schemes solving stochastic differential equations
• Fractional smoothness of distributions of polynomials and a fractional analog of the Hardy-Landau-Littlewood inequality
• Integration by parts formula and applications to equations with jumps
• Integration by parts formula with respect to jump times for stochastic differential equations
• Multivariate normal approximation using Stein's method and Malliavin calculus
• Non universality for the variance of the number of real roots of random trigonometric polynomials
• Normal approximations with Malliavin calculus. From Stein's method to universality
• On the distances between probability density functions
• The Malliavin Calculus and Related Topics
• The law of the Euler scheme for stochastic differential equations. I: Convergence rate of the distribution function

Cited in

(13)

• Aspects of Total Variation RegularizedL¹Function Approximation
• scientific article; zbMATH DE number 6853570 (Why is no real title available?)
• Convergence in total variation for nonlinear functionals of random hyperspherical harmonics
• Regularity of distributions of Sobolev mappings in abstract settings
• Distributions of polynomials in Gaussian random variables under constraints on the powers of variables
• Approximation for the invariant measure with applications for jump processes (convergence in total variation distance)
• Regularization by sup-inf convolutions on Riemannian manifolds: an extension of Lasry-Lions theorem to manifolds of bounded curvature
• Influence of dimension on the convergence of level-sets in total variation regularization
• Unadjusted Langevin algorithm with multiplicative noise: total variation and Wasserstein bounds
• Distributions of second order polynomials in Gaussian random variables
• A convergence analysis of regularization by discretization in preimage space
• Improved bounds for the total variation distance between stochastic polynomials
• Total variation distance between a jump-equation and its Gaussian approximation

This page was built for publication: Regularization lemmas and convergence in total variation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q782822)