Saved in:
| Main Author: | |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/2406.15801 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| _version_ | 1866916299722981376 |
|---|---|
| author | Giorgio, Giacomo |
| author_facet | Giorgio, Giacomo |
| contents | In this PhD thesis, we apply a combination of Malliavin calculus and Stein's method in the framework of probability approximations. The specific problems we tackle with these methods are motivated by probabilistic models in cosmology (Part I: Quantitative CLTs for non linear functionals of random hyperspherical harmonics) and finance (Part II: The fractional Ornstein-Uhlenbeck process in rough volatility modelling). In this second part we also apply techniques from Large Deviations theory (Section: Short-time asymptotics for non self-similar stochastic volatility models). |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2406_15801 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Limit theorems for Gaussian fields via Chaos Expansions and Applications Giorgio, Giacomo Probability In this PhD thesis, we apply a combination of Malliavin calculus and Stein's method in the framework of probability approximations. The specific problems we tackle with these methods are motivated by probabilistic models in cosmology (Part I: Quantitative CLTs for non linear functionals of random hyperspherical harmonics) and finance (Part II: The fractional Ornstein-Uhlenbeck process in rough volatility modelling). In this second part we also apply techniques from Large Deviations theory (Section: Short-time asymptotics for non self-similar stochastic volatility models). |
| title | Limit theorems for Gaussian fields via Chaos Expansions and Applications |
| topic | Probability |
| url | https://arxiv.org/abs/2406.15801 |