Stein’s method for invariant measures of diffusions via Malliavin calculus
AbstractGiven 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Stochastic Processes and their Applications.
Volume (Year): 122 (2012)
Issue (Month): 4 ()
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Bo Martin Bibby, 2001. "Simplified Estimating Functions for Diffusion Models with a High-dimensional Parameter," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 28(1), pages 99-112.
- Viens, Frederi G., 2009. "Stein's lemma, Malliavin calculus, and tail bounds, with application to polymer fluctuation exponent," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3671-3698, October.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If references are entirely missing, you can add them using this form.