Malliavin and Dirichlet structures for independent random variables
Laurent Decreusefond and
Hélène Halconruy
Stochastic Processes and their Applications, 2019, vol. 129, issue 8, 2611-2653
Abstract:
On any denumerable product of probability spaces, we construct a Malliavin gradient and then a divergence and a number operator. This yields a Dirichlet structure which can be shown to approach the usual structures for Poisson and Brownian processes. We obtain versions of almost all the classical functional inequalities in discrete settings which show that the Efron–Stein inequality can be interpreted as a Poincaré inequality or that the Hoeffding decomposition of U-statistics can be interpreted as an avatar of the Clark representation formula. Thanks to our framework, we obtain a bound for the distance between the distribution of any functional of independent variables and the Gaussian and Gamma distributions.
Keywords: Dirichlet structure; Ewens distribution; Log-Sobolev inequality; Malliavin calculus; Stein’s method; Talagrand inequality (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:129:y:2019:i:8:p:2611-2653
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DOI: 10.1016/j.spa.2018.07.019
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