Stein's method for rough paths

DOI10.1007/S11118-019-09773-ZMaRDI QIDQ778786zbMATH OpenOpenAlexFDO

Authors Laurent Decreusefond, L. Coutin

Publication date 20 July 2020

Published in Potential Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1707.01269

zbMATH Keywords

rough pathsStein methodDonsker theorem

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Rough paths (60L20)

Abstract: The original Donsker theorem says that a standard random walk converges in distribution to a Brownian motion in the space of continuous functions. It has recently been extended to enriched random walks and enriched Brownian motion. We use the Stein-Dirichlet method to precise the rate of this convergence in the topology of fractional Sobolev spaces.

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Cited in

(10)

• Donsker's theorem in Wasserstein-1 distance
• Gaussian random field approximation via Stein's method with applications to wide random neural networks
• Donsker's theorem and Dirichlet forms.
• Functional approximations via Stein's method of exchangeable pairs
• Diffusive limits of Lipschitz functionals of Poisson measures
• Stein's method, smoothing and functional approximation
• Malliavin-Stein method: a survey of some recent developments
• Stein's method for diffusion approximations
• Stein's method of exchangeable pairs in multivariate functional approximations
• Stein's method for diffusive limits of queueing processes

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