Stein’s Method for Rough Paths

L. Coutin; L. Decreusefond

doi:10.1007/s11118-019-09773-z

Stein’s Method for Rough Paths

Research output: Contribution to journal › Article › peer-review

Abstract

The original Donsker theorem says that a standard random walk converges in distribution to a Brownian motion in the space of continuous functions. It has recently been extended to enriched random walks and enriched Brownian motion. We use the Stein-Dirichlet method to precise the rate of this convergence in the topology of fractional Sobolev spaces.

Original language	English
Pages (from-to)	387-406
Number of pages	20
Journal	Potential Analysis
Volume	53
Issue number	2
DOIs	https://doi.org/10.1007/s11118-019-09773-z
Publication status	Published - 1 Aug 2020
Externally published	Yes

Keywords

Donsker theorem
Rough paths
Stein method

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title = "Stein{\textquoteright}s Method for Rough Paths",

abstract = "The original Donsker theorem says that a standard random walk converges in distribution to a Brownian motion in the space of continuous functions. It has recently been extended to enriched random walks and enriched Brownian motion. We use the Stein-Dirichlet method to precise the rate of this convergence in the topology of fractional Sobolev spaces.",

keywords = "Donsker theorem, Rough paths, Stein method",

author = "L. Coutin and L. Decreusefond",

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year = "2020",

month = aug,

day = "1",

doi = "10.1007/s11118-019-09773-z",

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journal = "Potential Analysis",

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AU - Decreusefond, L.

PY - 2020/8/1

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N2 - The original Donsker theorem says that a standard random walk converges in distribution to a Brownian motion in the space of continuous functions. It has recently been extended to enriched random walks and enriched Brownian motion. We use the Stein-Dirichlet method to precise the rate of this convergence in the topology of fractional Sobolev spaces.

AB - The original Donsker theorem says that a standard random walk converges in distribution to a Brownian motion in the space of continuous functions. It has recently been extended to enriched random walks and enriched Brownian motion. We use the Stein-Dirichlet method to precise the rate of this convergence in the topology of fractional Sobolev spaces.

KW - Donsker theorem

KW - Rough paths

KW - Stein method

U2 - 10.1007/s11118-019-09773-z

DO - 10.1007/s11118-019-09773-z

M3 - Article

AN - SCOPUS:85063047875

SN - 0926-2601

VL - 53

SP - 387

EP - 406

JO - Potential Analysis

JF - Potential Analysis

IS - 2

ER -

Stein’s Method for Rough Paths

Abstract

Keywords

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