Work

Malliavin-Stein Method: a Survey of Recent Developments

Year: 2018

Type: preprint

Abstract: Initiated around the year 2007, the Malliavin-Stein approach to probabilistic approximations combines Stein's method with infinite-dimensional integration by parts formulae based on the use of Malliavin-type operators. In the last decade, Malliavin-Stein techniques have allowed researchers to establish new quantitative limit theorems in a variety of domains of theoretical and applied stochastic analysis. The aim of this survey is to illustrate some of the latest developments of the Malliavin-Stein method, with specific emphasis on extensions and generalisations in the framework of Markov semigroups and of random point measures.

Source: arXiv (Cornell University)

DOI: 10.48550/arxiv.1809.01912

Authors: Azmoodeh, Ehsan, Peccati, Giovanni, Yang, Xiaochuan

Institutions: University of Liverpool, University of Luxembourg, University of Bath

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2892312958

Cites: 84

Cited by: 3

Related to: 10