Special Session 81: 

A Malliavin-Stein approach for multivariate approximations in Wasserstein distance

Xiao Fang
The Chinese University of Hong Kong
Hong Kong
Co-Author(s):    Xiao Fang, Qi-Man Shao, Lihu Xu
Abstract:
Stein`s method has been widely used for probability approximations. However, in the multi-dimensional setting, most of the results are for multivariate normal approximation or for test functions with bounded second- or higher-order derivatives. For a class of multivariate limiting distributions, we use Bismut`s formula in Malliavin calculus to control the derivatives of the Stein equation solutions by the first derivative of the test function. Combined with Stein`s exchangeable pair approach, we obtain a general theorem for multivariate approximations with near optimal error bounds on the Wasserstein distance. We apply the theorem to the unadjusted Langevin algorithm.