题目：Multivariate approximation by Bismut formula and Stein's method
报告人：徐礼虎（澳门大学）

时间：4月4日（周四）上午10:00-11:00
地点：管理科研楼1308

报告摘要： 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.