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Your search keyword '"Réveillac, Anthony"' showing total 2 results
Start Over Author "Réveillac, Anthony" Journal annales de l'institut henri poincare (b) probability & statistics
2 results on '"Réveillac, Anthony"'

1. On the Malliavin differentiability of BSDEs.

Author

Mastrolia, Thibaut, Possamaï, Dylan, and Réveillac, Anthony

Subjects
*MALLIAVIN calculus, *CALCULUS of variations, *LIPSCHITZ spaces, *FUNCTION spaces, *FUNCTIONAL analysis
Abstract

In this paper we provide new conditions for the Malliavin differentiability of solutions of Lipschitz or quadratic BSDEs. Our results rely on the interpretation of the Malliavin derivative as a Gâteaux derivative in the directions of the Cameron-Martin space. Incidentally, we provide a new formulation for the characterization of the Malliavin-Sobolev type spaces D1,p. [ABSTRACT FROM AUTHOR]

Published
2017
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2. Multivariate normal approximation using Stein's method and Malliavin calculus.

Author

Nourdin, Ivan, Peccati, Giovanni, and Réveillac, Anthony

Subjects
*GAUSSIAN processes, *APPROXIMATION theory, *MALLIAVIN calculus, *STEIN manifolds, *WIENER processes, *MULTIVARIATE analysis
Abstract

We combine Stein's method with Malliavin calculus in order to obtain explicit bounds in the multidimensional normal approximation (in the Wasserstein distance) of functionals of Gaussian fields. Among several examples, we provide an application to a functional version of the Breuer-Major CLT for fields subordinated to a fractional Brownian motion. [ABSTRACT FROM AUTHOR]

Published
2010
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