Some Applications of the Malliavin Calculus to Sub-Gaussian and Non-Sub-Gaussian Random Fields

@inproceedings{Vizcarra2007SomeAO,
  title={Some Applications of the Malliavin Calculus to Sub-Gaussian and Non-Sub-Gaussian Random Fields},
  author={Andrew Bartiquin Vizcarra and Frederi Viens},
  year={2007}
}
We introduce a boundedness condition on the Malliavin derivative of a random variable to study subGaussian and other non-Gaussian properties of functionals of random …elds, with particular attention to the estimation of suprema. We relate the boundedness of nth Malliavin derivatives to a new class of “sub-nth Gaussian chaos” processes. An expected supremum estimation, extending the DudleyFernique theorem, is proved for such processes. Sub-nth Gaussian chaos concentration inequalities for the… CONTINUE READING
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