Related papers: Total variation distance between two double Wiener…
Let $X_1, \ldots , X_n$ be i.i.d. random vectors in $\mathbb{R}^d$ with $\|X_1\| \le \beta$. Then, we show that $\frac{1}{\sqrt{n}}(X_1 + \ldots + X_n)$ converges to a Gaussian in quadratic transportation (also known as "Kantorovich" or…
We analyze {\em the Rosenblatt process} which is a selfsimilar process with stationary increments and which appears as limit in the so-called {\em Non Central Limit Theorem} (Dobrushin and Major (1979), Taqqu (1979)). This process is…
In the first part of the paper we use a new Fourier technique to obtain a Stein characterizations for random variables in the second Wiener chaos. We provide the connection between this result and similar conclusions that can be derived…
We consider equidistant Riemann approximations of stochastic integrals $\int_0^T f(B^H_s)dB^H_s$ with respect to the fractional Brownian motion with $H>\frac12$, where $f$ is an arbitrary function of locally bounded variation, hence…
It is a well-known fact that finite rho-variation of the covariance (in 2D sense) of a general Gaussian process implies finite rho-variation of Cameron-Martin paths. In the special case of fractional Brownian motion (think: 2H=1/rho), in…
For certain random variables that arise as limits of functionals of random finite trees, we obtain precise asymptotics for the logarithm of the right-hand tail. Our results are based on the facts (i) that the random variables we study can…
The paper deals with convergence of solutions of a class of stochastic differential equations driven by infinite-dimensional semimartingales. The infinite-dimensional semimartingales considered in the paper are Hilbert-space valued. The…
We investigate the problem of finding necessary and sufficient conditions for convergence in distribution towards a general finite linear combination of independent chi-squared random variables, within the framework of random objects living…
We use Stein's method to establish the rates of normal approximation in terms of the total variation distance for a large class of sums of score functions of marked Poisson point processes on $\mathbb{R}^d$. As in the study under the weaker…
For a>0,let W^a(t) be the a-neighbourhood of standard Brownian motion in R^d starting at 0 and observed until time t.It is well-known that E|W^a(t)|~kappa_a t (t->infty) for d >= 3,with kappa_a the Newtonian capacity of the ball with radius…
We study the rate of convergence of two discrete processes towards the Brownian bridge: the random walk conditioned to be zero at time 2n and the empirical process which appears in the Glivencko-Cantelli theorem. Combining a functional…
A representation for the Kantorovich--Rubinstein distance between probability measures on an abstract Wiener space in terms of the extended stochastic integral (or, divergence) operator is obtained.
This paper presents a novel generic asymptotic expansion formula of expectations of multidimensional Wiener functionals through a Malliavin calculus technique. The uniform estimate of the asymptotic expansion is shown under a weaker…
On an abstract Wiener space, assume that T is the solution of the quadratic Monge problem associated to the Wiener measure and a second one with a Radon-Nikodym derivative of exponential type. Under the finite information hypothesis, using…
We discuss Rayleigh-Ritz variational calculations with nonorthogonal basis sets that exhibit the correct asymptotic behaviour. We construct the suitable basis sets for general one-dimensional models and illustrate the application of the…
The purpose of this paper is to analyze the distribution distance between random vectors derived from the magnitude of the analytic wavelet transform of the squared envelopes of Gaussian processes and their large-scale limits. When the…
This paper is devoted to the study of the eigenvalues of the Wishart process which are the analogof the Dyson Brownian Motion for covariance matrices. Such processes were in particular studied byBru. The mean field convergence of the…
In this paper we study the Total Variation Flow (TVF) in metric random walk spaces, which unifies into a broad framework the TVF on locally finite weighted connected graphs, the TVF determined by finite Markov chains and some nonlocal…
We study fine potential theory and in particular partitions of unity in quasiopen sets in the case $p=1$. Using these, we develop an analog of the discrete convolution technique in quasiopen (instead of open) sets. We apply this technique…
We present new exact expressions for a class of moments for the geometric Brownian motion, in terms of determinants, obtained using a recurrence relation and combinatorial arguments for the case of a Ito's Wiener process. We then apply the…