Wednesday, September 30, 2009
10:30 AM in LWSN 1142
Giovanni Peccati
Université Paris Ouest Nanterre and Université Paris 6, France

Stein's method meets Malliavin calculus: from Berry-Esseen to universality

Abstract

We discuss some applications of Malliavin calculus and Stein's method to the derivation of explicit bounds in limit theorems involving functionals of a general Gaussian field. Some applications to isotropic spherical fields are described. A universality result is also presented: this is a crucial tool in the CLT for spectral measures of non-Hermitian random matrix ensembles discussed in Nourdin's talk. Based on joint works with I. Nourdin (Paris 6) and G. Reinert (Oxford).