Normal Approximations with Malliavin Calculus

Stein's method is a collection of probabilistic techniques that allow one to assess the distance between two probability distributions by means of differential operators. In 2007, the authors discovered that one can combine Stein's method with the powerful Malliavin calculus of variations, in order to deduce quantitative central limit theorems involving functionals of general Gaussian fields. This book provides an ideal introduction both to Stein's method and Malliavin calculus, from the standpoint of normal approximations on a Gaussian space. Many recent developments and applications are studied in detail, for instance: fourth moment theorems on the Wiener chaos, density estimates, Breuer-Major theorems for fractional processes, recursive cumulant computations, optimal rates and universality results for homogeneous sums. Largely self-contained, the book is perfect for self-study. It will appeal to researchers and graduate students in probability and statistics, especially those who wish to understand the connections between Stein's method and Malliavin calculus.

Author: Ivan Nourdin, Giovanni Peccati
Publisher: Cambridge University Press
Published: 05/10/2012
Pages: 254
Binding Type: Hardcover
Weight: 1.10lbs
Size: 9.00h x 6.00w x 0.70d
ISBN: 9781107017771

About the Author
Nourdin, Ivan: - Ivan Nourdin is Full Professor at Nancy University 1, France.Peccati, Giovanni: - Giovanni Peccati is Full Professor in Stochastic Analysis and Finance at the University of Luxembourg.