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Reports Year : 2013

Total variation distance between two double Wiener-Itô integrals

Rola Zintout
  • Function : Correspondent author
  • PersonId : 936864

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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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Dates and versions

hal-00784907 , version 1 (05-02-2013)
hal-00784907 , version 2 (21-05-2013)

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Rola Zintout. Total variation distance between two double Wiener-Itô integrals. 2013. ⟨hal-00784907v1⟩
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