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

Seiichiro Kusuoka and Ciprian A. Tudor

Stochastic Processes and their Applications, 2012, vol. 122, issue 4, 1627-1651

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.

Keywords: Stein’s method; Malliavin calculus; Berry–Esséen bounds; Weak convergence; Multiple stochastic integrals; Diffusions; Invariant measure (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (9)

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DOI: 10.1016/j.spa.2012.02.005

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