We provide a simple abstract formalism of integration by parts under which we obtain some regularization lemmas. These lemmas apply to any sequence of random variables (F-n) which are smooth and non-degenerated in some sense and enable one to upgrade the distance of convergence from smooth Wasserstein distances to total variation in a quantitative way. This is a well studied topic and one can consult for instance [3, 11, 14, 20] and the references therein for an overview of this issue. Each of the aforementioned references share the fact that some non-degeneracy is required along the whole sequence. We provide here the first result removing this costly assumption as we require only non-degeneracy at the limit. The price to pay is to control the smooth Wasserstein distance between the Malliavin matrix of the sequence and its limit, which is particularly easy in the context of Gaussian limit as the Malliavin matrix is deterministic. We then recover, in a slightly weaker form, the main findings of [19]. Another application concerns the approximation of the semi-group of a diffusion process by the Euler scheme in a quantitative way and under the Hormander condition.

Bally, V., Caramellino, L., Poly, G. (2020). Regularization lemmas and convergence in total variation. ELECTRONIC JOURNAL OF PROBABILITY, 25, 1-20 [10.1214/20-EJP481].

Regularization lemmas and convergence in total variation

Caramellino, L;
2020-01-01

Abstract

We provide a simple abstract formalism of integration by parts under which we obtain some regularization lemmas. These lemmas apply to any sequence of random variables (F-n) which are smooth and non-degenerated in some sense and enable one to upgrade the distance of convergence from smooth Wasserstein distances to total variation in a quantitative way. This is a well studied topic and one can consult for instance [3, 11, 14, 20] and the references therein for an overview of this issue. Each of the aforementioned references share the fact that some non-degeneracy is required along the whole sequence. We provide here the first result removing this costly assumption as we require only non-degeneracy at the limit. The price to pay is to control the smooth Wasserstein distance between the Malliavin matrix of the sequence and its limit, which is particularly easy in the context of Gaussian limit as the Malliavin matrix is deterministic. We then recover, in a slightly weaker form, the main findings of [19]. Another application concerns the approximation of the semi-group of a diffusion process by the Euler scheme in a quantitative way and under the Hormander condition.
2020
Pubblicato
Rilevanza internazionale
Articolo
Esperti anonimi
Settore MAT/06 - PROBABILITA' E STATISTICA MATEMATICA
English
abstract Malliavin calculus; regularization techniques; total variation distance; Wasserstein distance
Bally, V., Caramellino, L., Poly, G. (2020). Regularization lemmas and convergence in total variation. ELECTRONIC JOURNAL OF PROBABILITY, 25, 1-20 [10.1214/20-EJP481].
Bally, V; Caramellino, L; Poly, G
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/255596
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