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2013 Probability approximation by Clark-Ocone covariance representation
Nicolas Privault, Giovanni Luca Torrisi
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Electron. J. Probab. 18: 1-25 (2013). DOI: 10.1214/EJP.v18-2787

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.

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Nicolas Privault. Giovanni Luca Torrisi. "Probability approximation by Clark-Ocone covariance representation." Electron. J. Probab. 18 1 - 25, 2013. https://doi.org/10.1214/EJP.v18-2787

Information

Accepted: 23 October 2013; Published: 2013
First available in Project Euclid: 4 June 2016

zbMATH: 1308.60069
MathSciNet: MR3126574
Digital Object Identifier: 10.1214/EJP.v18-2787

Subjects:
Primary: 60F05
Secondary: 60G57, 60H07

JOURNAL ARTICLE
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Vol.18 • 2013
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