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arXiv · 1302.1171

Total variation distance between two double Wiener-Itô integrals

Rola Zintout
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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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Rola Zintout. 2013-05-22. Total variation distance between two double Wiener-Itô integrals. https://arxiv.org/abs/1302.1171

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