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arXiv · 1505.06075

The Stein-Dirichlet-Malliavin method

Laurent Decreusefond
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Abstract

The Stein's method is a popular method used to derive upper-bounds of distances between probability distributions. It can be viewed, in certain of its formulations, as an avatar of the semi-group or of the smart-path method used commonly in Gaussian analysis. We show how this procedure can be enriched by Malliavin calculus leading to a functional approach valid in infinite dimensional spaces.

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Laurent Decreusefond. 2015-05-22. The Stein-Dirichlet-Malliavin method. https://arxiv.org/abs/1505.06075

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