Regularization lemmas and convergence in total variation

DOI10.1214/20-EJP481zbMATH Open1444.60009arXiv1907.12328OpenAlexW2965083532WikidataQ124989816 ScholiaQ124989816MaRDI QIDQ782822FDOQ782822

Vlad Bally, Guillaume Poly, Lucia Caramellino

Publication date: 29 July 2020

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

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.

Full work available at URL: https://arxiv.org/abs/1907.12328

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)

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Cited In (13)

• Aspects of Total Variation RegularizedL¹Function Approximation
• Convergence in total variation for nonlinear functionals of random hyperspherical harmonics
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• Regularity of distributions of Sobolev mappings in abstract settings
• Approximation for the invariant measure with applications for jump processes (convergence in total variation distance)
• Distributions of polynomials in Gaussian random variables under constraints on the powers of variables
• 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
• Improved bounds for the total variation distance between stochastic polynomials
• A convergence analysis of regularization by discretization in preimage space
• Total variation distance between a jump-equation and its Gaussian approximation

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