Normal Approximations with Malliavin Calculus

Name: Normal Approximations with Malliavin Calculus
SKU: 19107472
Price: 245.00 NZD
Availability: InStock

From Stein's Method to Universality

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Format:

Hardback

Series:

Cambridge Tracts in Mathematics

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Description

Stein's method is a collection of probabilistic techniques that allow one to assess the distance between two probability distributions by means of differential operators. In 2007, the authors discovered that one can combine Stein's method with the powerful Malliavin calculus of variations, in order to deduce quantitative central limit theorems involving functionals of general Gaussian fields. This book provides an ideal introduction both to Stein's method and Malliavin calculus, from the standpoint of normal approximations on a Gaussian space. Many recent developments and applications are studied in detail, for instance: fourth moment theorems on the Wiener chaos, density estimates, Breuer–Major theorems for fractional processes, recursive cumulant computations, optimal rates and universality results for homogeneous sums. Largely self-contained, the book is perfect for self-study. It will appeal to researchers and graduate students in probability and statistics, especially those who wish to understand the connections between Stein's method and Malliavin calculus.

Author Biography:

Ivan Nourdin is Full Professor at Nancy University 1, France. Giovanni Peccati is Full Professor in Stochastic Analysis and Finance at the University of Luxembourg.

Release date NZ

May 10th, 2012

Author

Audience

Professional & Vocational

Illustrations

Worked examples or Exercises

Pages

254

Series

Cambridge Tracts in Mathematics

Dimensions

152x229x18

ISBN-13

9781107017771

Product ID

19107472

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