General upper and lower tail estimates using Malliavin calculus and Stein's equations

Mathematics – Probability

Scientific paper

Rate now

  [ 0.00 ] – not rated yet Voters 0   Comments 0

Details

Dedicated to the memory of Professor Paul Malliavin

Scientific paper

Following a strategy recently developed by Ivan Nourdin and Giovanni Peccati, we provide a general technique to compare the tail of a given random variable to that of a reference distribution. This enables us to give concrete conditions to ensure upper and/or lower bounds on the random variable's tail of various power or exponential types. The Nourdin-Peccati strategy analyzes the relation between Stein's method and the Malliavin calculus, and is adapted to dealing with comparisons to the Gaussian law. By studying the behavior of the solution to general Stein equations in detail, we show that the strategy can be extended to comparisons to a wide class of laws, including many Pearson distributions.

No associations

LandOfFree

Say what you really think

Search LandOfFree.com for scientists and scientific papers. Rate them and share your experience with other people.

Rating

General upper and lower tail estimates using Malliavin calculus and Stein's equations does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with General upper and lower tail estimates using Malliavin calculus and Stein's equations, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and General upper and lower tail estimates using Malliavin calculus and Stein's equations will most certainly appreciate the feedback.

Rate now

     

Profile ID: LFWR-SCP-O-441390

  Search
All data on this website is collected from public sources. Our data reflects the most accurate information available at the time of publication.