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Journal articles
Donsker's theorem in {Wasserstein}-1 distance
Abstract : We compute the Wassertein-1 (or Kantorovitch-Rubinstein) distance between a random walk in $R^d$ and the Brownian motion. The proof is based on a new estimate of the Lipschitz modulus of the solution of the Stein's equation. As an application, we can evaluate the rate of convergence towards the local time at 0 of the Brownian motion.
Keywords :
Malliavin calculus
Stein method
Cited literature [17 references]
https://hal.telecom-paris.fr/hal-02098892
Contributor : Laurent Decreusefond <>
Submitted on : Saturday, April 13, 2019 - 2:45:22 PM
Last modification on : Monday, December 14, 2020 - 5:38:15 PM
Contributor : Laurent Decreusefond <>
Submitted on : Saturday, April 13, 2019 - 2:45:22 PM
Last modification on : Monday, December 14, 2020 - 5:38:15 PM