Malliavin-Stein method for variance-gamma approximation on Wiener space

DOI10.1214/EJP.V20-4136zbMATH Open1328.60065arXiv1409.5646MaRDI QIDQ894187FDOQ894187

Authors: Peter Eichelsbacher, Christoph Thäle 

Publication date: 27 November 2015

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

Abstract: We combine Malliavin calculus with Stein's method to derive bounds for the Variance-Gamma approximation of functionals of isonormal Gaussian processes, in particular of random variables living inside a fixed Wiener chaos induced by such a process. The bounds are presented in terms of Malliavin operators and norms of contractions. We show that a sequence of distributions of random variables in the second Wiener chaos converges to a Variance-Gamma distribution if and only if their moments of order two to six converge to that of a Variance-Gamma distributed random variable (six moment theorem). Moreover, simplified versions for Laplace or symmetrized Gamma distributions are presented. Also multivariate extensions and a universality result for homogeneous sums are considered.

Full work available at URL: https://arxiv.org/abs/1409.5646

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zbMATH Keywords

Malliavin calculusrate of convergenceStein's methodLaplace distributionuniversalityWiener spacecumulantsnon-central limit theoremcontractionsisonormal Gaussian processesvariance-gamma approximation

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Central limit and other weak theorems (60F05) Stochastic integrals (60H05)

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