Fisher information bounds and applications to SDEs with small noise

Nguyen Tien Dung and Nguyen Thu Hang

Stochastic Processes and their Applications, 2024, vol. 178, issue C

Abstract: In this paper, we first establish general bounds on the Fisher information distance to the class of normal distributions of Malliavin differentiable random variables. We then study the rate of Fisher information convergence in the central limit theorem for the solution of small noise stochastic differential equations and its additive functionals. We also show that the convergence rate is of optimal order.

Keywords: Malliavin calculus; Fisher information; Small noise SDEs (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spa.2024.104468

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