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Probability approximation by Clark-Ocone covariance representation


 
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1. Title Title of document Probability approximation by Clark-Ocone covariance representation
 
2. Creator Author's name, affiliation, country Nicolas Privault; Nanyang Technological University; Singapore
 
2. Creator Author's name, affiliation, country Giovanni Luca Torrisi; Istituto per le Applicazioni del Calcolo "Mauro Picone"; Italy
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Poisson space, Stein-Chen method, Malliavin calculus, Clark-Ocone formula.
 
3. Subject Subject classification 60F05, 60G57, 60H07.
 
4. Description Abstract

Based on the Stein method and a general integration by parts framework we derive various bounds on the distance between probability measures. We show that this framework can be implemented on the Poisson space by covariance identities obtained from the Clark-Ocone representation formula and derivation operators. Our approach avoids the use of the inverse of the Ornstein Uhlenbeck operator as in the existing literature, and also applies to the Wiener space.

 
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) NTU MOE Tier 2 Grant No M4020140
 
7. Date (YYYY-MM-DD) 2013-10-23
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/2787
 
10. Identifier Digital Object Identifier 10.1214/EJP.v18-2787
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 18
 
12. Language English=en en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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