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2019 On Stein’s method for multivariate self-decomposable laws
Benjamin Arras, Christian Houdré
Electron. J. Probab. 24(none): 1-63 (2019). DOI: 10.1214/19-EJP378

Abstract

This work explores and develops elements of Stein’s method of approximation in the infinitely divisible setting, and its connections to functional analysis. It is mainly concerned with multivariate self-decomposable laws without finite first moment and, in particular, with $\alpha $-stable ones, $\alpha \in (0,1]$. At first, several characterizations of these laws via covariance identities are presented. In turn, these characterizations lead to integro-differential equations which are solved with the help of both semigroup and Fourier methodologies. Then, Poincaré-type inequalities for self-decomposable laws having finite first moment are revisited. In this non-local setting, several algebraic quantities (such as the carré du champs and its iterates) originating in the theory of Markov diffusion operators are computed. Finally, rigidity and stability results for the Poincaré-ratio functional of the rotationally invariant $\alpha $-stable laws, $\alpha \in (1,2)$, are obtained; and as such they recover the classical Gaussian setting as $\alpha \to 2$.

Citation

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Benjamin Arras. Christian Houdré. "On Stein’s method for multivariate self-decomposable laws." Electron. J. Probab. 24 1 - 63, 2019. https://doi.org/10.1214/19-EJP378

Information

Received: 14 August 2019; Accepted: 16 October 2019; Published: 2019
First available in Project Euclid: 9 November 2019

zbMATH: 07142922
MathSciNet: MR4029431
Digital Object Identifier: 10.1214/19-EJP378

Subjects:
Primary: 60E07, 60E10, 60F05

JOURNAL ARTICLE
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