[PDF] Top 20 Malliavin calculus and Dirichlet structures for independent random variables
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Malliavin calculus and Dirichlet structures for independent random variables
... Malliavin calculus and Dirichlet structures for independent random variables The motivation to develop a Malliavin calculus for ... Voir le document complet
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Malliavin and Dirichlet structures for independent random variables
... constant random variable equal to ...Nourdin and Peccati (see [26]) showed that the transformation step can be advantageously made simple using integration by parts in the sense of Malliavin ...a ... Voir le document complet
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Berry-Esséen Bounds for Long Memory Moving Averages via Stein's Method and Malliavin Calculus
... 3.3 Error Bounds in the Non-Central Limit Theorem We will now turn our attention to the case where q < (2β − 1) −1 , where we will use the total variation distance instead of the Kolmogorov distance because that is ... Voir le document complet
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A bound on the 2-Wasserstein distance between linear combinations of independent random variables
... (2.78), and the so called variance-gamma class of probability distributions, and to compare our quantitive bound in Corollary ...the Malliavin–Stein ...distributions. For detailed information, ... Voir le document complet
31
Bayesian inference and model comparison for random choice structures
... Cavagnaro and Davis-Stober (2013) and Myung, Karabatsos, and Iverson (2005) both use a uniform prior on the space of relevant binary choice probabilities to define their base- line ...Probabilities ... Voir le document complet
27
Stein characterizations for linear combinations of gamma random variables
... The Malliavin-Stein method and its extensions If F ∞ is standard Gaussian random variable then the operator is A ∞ f (x) = f ′ (x) − xf (x) with F(A ∞ ) the class of all differentiable functions such ... Voir le document complet
19
Variations and estimators for the selfsimilarity order through Malliavin calculus
... results for the non-Gaussian Rosenblatt ...space and (B(ϕ), ϕ ∈ H), an isonormal Gaussian process, that is, a centered Gaussian family of random variables such that E(B(ϕ)B(ψ)) = hϕ, ψi H ... Voir le document complet
43
On the structure of Gaussian random variables
... Gaussian random variable Let us consider a probability space (Ω, F, P ) and assume that (W t ) t∈[0,1] is a Brownian motion on this space with respect to its natural filtration (F t ) t∈[0,1] ...stochastic ... Voir le document complet
14
On limit theorems and backward stochastic differential equations via Malliavin calculus
... Gamma random variable which are given by a multiple Wiener-Itô ...characterization for random variable leaving in a finite or infinite sum of Wiener chaos ; only an upper bound for the distance ... Voir le document complet
151
Wiener integrals, Malliavin calculus and covariance measure structure
... Gaussian random variables are independent and also the special form of the derivative of the Gaussian ...[29] and other given in Bass [4] using a Bismut’s idea and based on the ... Voir le document complet
51
Brownian and fractional Brownian stochastic currents via Malliavin calculus
... two variables ω ∈ Ω and x ∈ R d . One could have that the random distribution is given by a function with respect to the x variable, but at the price that it is distribution-valued (in the ... Voir le document complet
28
Malliavin Calculus and Self Normalized Sums
... if and only if E(X) = 0 and X is in the domain of attraction of the standard normal law (see [5], Theorem ...known for a long time (it appears in [7]) while the “only if” part remained open until its ... Voir le document complet
23
Probability and moment inequalities for sums of weakly dependent random variables, with applications
... the independent case since it makes heavy use of the independence; see Bennett (1962, ...dependent random variables by independent ones and then applying an available in- equality from ... Voir le document complet
34
Multifractal random walks with fractional Brownian motion via Malliavin calculus
... effect and allows a more flexibility for long-range dependence in ...noise” and the process Y to be a fractional Brownian motion with Hurst parameter H > 1 2 ...Q and B H are not ... Voir le document complet
26
Convergence in law implies convergence in total variation for polynomials in independent Gaussian, Gamma or Beta random variables
... if and only if d T V (F n , F ∞ ) → ...necessary and sufficient conditions are given (in term of the absolute continuity of the laws) so that the classical Central Limit Theorem holds in total ...[6] ... Voir le document complet
12
Generalized Wiener filtering for positive alpha-stable random variables
... Kotropoulos, and E. Koliopoulou, “Symmetric α-stable sparse linear regression for musical audio denoising,” in ...Image and Signal Processing and Analysis ...Speech and Signal ... Voir le document complet
9
New weighted concepts for continuous random variables with applications
... continuous random variable X having a probability density function defined on [a, ...moments for continuous random ...estimations for the cen- tral moments. Other results based on Gruss ... Voir le document complet
18
Extensions of the Itô formula through Malliavin calculus and application to a variational problem
... Extensions of the Itô formula through Malliavin calculus and application to a variational problem.. Jérôme ValentinM[r] ... Voir le document complet
187
Application of Malliavin calculus and analysis on Wiener space to long-memory parameter estimation for non-Gaussian processes
... interest and importance, since H describes the memory of the process as well as other regularity ...used for fBm for many years (see references in ... Voir le document complet
5
Monte Carlo Estimation of a Joint Density Using Malliavin Calculus, and Application to American Options
... By passing to a discrete-time approximation, the American option valuation problem is reduced to a backward algorithm which requires to compare at each step the reward from exercising the option to the expected reward ... Voir le document complet
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