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Stein’s method for invariant measures of diffusions via Malliavin calculus
- Source :
-
Stochastic Processes & Their Applications . Apr2012, Vol. 122 Issue 4, p1627-1651. 25p. - Publication Year :
- 2012
-
Abstract
- Abstract: Given a random variable 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 . 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. [Copyright &y& Elsevier]
Details
- Language :
- English
- ISSN :
- 03044149
- Volume :
- 122
- Issue :
- 4
- Database :
- Academic Search Index
- Journal :
- Stochastic Processes & Their Applications
- Publication Type :
- Academic Journal
- Accession number :
- 74500615
- Full Text :
- https://doi.org/10.1016/j.spa.2012.02.005