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PRODID:-//Columba Systems Ltd//NONSGML CPNG/SpringViewer/ICal Output/3.3-
M3//EN
VERSION:2.0
CALSCALE:GREGORIAN
METHOD:PUBLISH
BEGIN:VEVENT
DTSTAMP:20201127T104328Z
DTSTART:20201202T150000Z
SUMMARY:Ehsan Azmoodeh - Optimal Variance–Gamma Approximation on Wiener S
pace
UID:{http://www.columbasystems.com/customers/uom/gpp/eventid/}k1bt-ki050z
wo-x2n56o
DESCRIPTION:Ehsan Azmoodeh (Liverpool) will speak in the Probability semi
nar. \n\nhttps://zoom.us/j/99566182567\n\nAbstract:\nIn this talk\, we c
onsider the problem of optimal Variance-Gamma approximation on Wiener sp
ace in terms of a suitable integral probability metric. On the second W
iener chaos\, we demonstrate a non-asymptotic optimal quantitative rate
in terms of maximum of the first six cumulants. Our result extends the c
elebrated optimal fourth moment theorem due to Nourdin & Peccati (Proc.
Amer. Math. Soc.\,143(7):3123–3133\, 2015) for normal approximation. The
main body of our analysis constitutes of the following techniques: (i)
Malliavin calculus on Wiener space (ii) a splitting technique for test
functions in the Lipschitz Banach space relying on the compactness of th
e Stein operator (iii) recent development of Stein method for Variance–G
amma distribution due to Robert Gaunt (https://arxiv.org/abs/2008.06088\
, 2020). As an application\, we illustrate the optimal rate 1/n improve
d by a power two of convergence for the generalized Rosenblatt process a
t extreme critical exponent due to Bai & Taqqu (Ann. Probab. 45\, 1278–1
324\, 2017).\n\nThis is a joint work in progress with Peter Eichelsbache
r and Christoph Thäle at Ruhr University Bochum.
STATUS:TENTATIVE
TRANSP:TRANSPARENT
CLASS:PUBLIC
LOCATION: https://zoom.us/j/99566182567
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