Stein's lemma, Malliavin calculus, and tail bounds, with application to polymer fluctuation exponent

Frederi G. Viens

Stochastic Processes and their Applications, 2009, vol. 119, issue 10, 3671-3698

Abstract: We consider a random variable X satisfying almost-sure conditions involving G:= where DX is X's Malliavin derivative and L-1 is the pseudo-inverse of the generator of the Ornstein-Uhlenbeck semigroup. A lower- (resp. upper-) bound condition on G is proved to imply a Gaussian-type lower (resp. upper) bound on the tail . Bounds of other natures are also given. A key ingredient is the use of Stein's lemma, including the explicit form of the solution of Stein's equation relative to the function , and its relation to G. Another set of comparable results is established, without the use of Stein's lemma, using instead a formula for the density of a random variable based on G, recently devised by the author and Ivan Nourdin. As an application, via a Mehler-type formula for G, we show that the Brownian polymer in a Gaussian environment, which is white-noise in time and positively correlated in space, has deviations of Gaussian type and a fluctuation exponent [chi]=1/2. We also show this exponent remains 1/2 after a non-linear transformation of the polymer's Hamiltonian.

Keywords: Malliavin; calculus; Wiener; chaos; Sub-Gaussian; Stein's; lemma; Polymer; Anderson; model; Random; media; Fluctuation; exponent (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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