Total variation distance between two double Wiener-Itô integralsReport as inadecuate




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* Corresponding author 1 Probabilités statistiques IECL - Institut Élie Cartan de Lorraine

Abstract : Using an approach recently developed by Nourdin and Poly, we improve the rate in an inequality for the total variation distance between two double Wiener-Itô integrals originally due to Davydov and Martynova. An application to the rate of convergence of a functional of a correlated two-dimensional fractional Brownian motion towards the Rosenblatt random variable is then given, following a previous study by Maejima and Tudor.

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Keywords : Convergence in total variation Malliavin calculus double Wiener-Itô integral Rosenblatt process.

keyword : Rosenblatt process





Author: Rola Zintout -

Source: https://hal.archives-ouvertes.fr/



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