# Malliavin-Stein method for variance-gamma approximation on Wiener space

@article{Eichelsbacher2014MalliavinSteinMF, title={Malliavin-Stein method for variance-gamma approximation on Wiener space}, author={P. Eichelsbacher and Christoph Thale}, journal={Electronic Journal of Probability}, year={2014}, volume={20}, pages={1-28} }

We combine Malliavin calculus with Stein's method to derive bounds for the Variance-Gamma approximation of functionals of isonormal Gaussian processes, in particular of random variables living inside a fixed Wiener chaos induced by such a process. The bounds are presented in terms of Malliavin operators and norms of contractions. We show that a sequence of distributions of random variables in the second Wiener chaos converges to a Variance-Gamma distribution if and only if their moments of… Expand

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