The Stein-Dirichlet-Malliavin method
Copyright policy )The Stein-Dirichlet-Malliavin method
The Stein's method is a popular method used to derive upper-bounds of distances between probability distributions. It can be viewed, in certain of its formulations, as an avatar of the semi-group or of the smart-path method used commonly in Gaussian analysis. We show how this procedure can be enriched by Malliavin calculus leading to a functional approach valid in infinite dimensional spaces.
in ESAIM: Proceedings, EDP Sciences, 2015, pp.11
- Institut Mines-Télécom France
T57-57.97, Applied mathematics. Quantitative methods, Stochastic calculus of variations and the Malliavin calculus, Probability (math.PR), probability distributions, Central limit and other weak theorems, smart-path method, Research exposition (monographs, survey articles) pertaining to probability theory, Dirichlet-Malliavin structure, QA1-939, FOS: Mathematics, Stein's method, Convergence of probability measures, Mathematics, Mathematics - Probability, Gaussian analysis
T57-57.97, Applied mathematics. Quantitative methods, Stochastic calculus of variations and the Malliavin calculus, Probability (math.PR), probability distributions, Central limit and other weak theorems, smart-path method, Research exposition (monographs, survey articles) pertaining to probability theory, Dirichlet-Malliavin structure, QA1-939, FOS: Mathematics, Stein's method, Convergence of probability measures, Mathematics, Mathematics - Probability, Gaussian analysis
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