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Stein’s method for invariant measures of diffusions via Malliavin calculus

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  • Kusuoka, Seiichiro
  • Tudor, Ciprian A.
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    Abstract

    Given a random variable F regular enough in the sense of the Malliavin calculus, we are able to measure the distance between its law and any probability measure with a density function which is continuous, bounded, strictly positive on an interval in the real line and admits finite variance. The bounds are given in terms of the Malliavin derivative of F. Our approach is based on the theory of Itô diffusions and the stochastic calculus of variations. Several examples are considered in order to illustrate our general results.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0304414912000270
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    Bibliographic Info

    Article provided by Elsevier in its journal Stochastic Processes and their Applications.

    Volume (Year): 122 (2012)
    Issue (Month): 4 ()
    Pages: 1627-1651

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    Handle: RePEc:eee:spapps:v:122:y:2012:i:4:p:1627-1651

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    Related research

    Keywords: Stein’s method; Malliavin calculus; Berry–Esséen bounds; Weak convergence; Multiple stochastic integrals; Diffusions; Invariant measure;

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