Normal Approximation of Kabanov-Skorohod Integrals on Poisson Spaces

被引:1
|
作者
Last, G. [1 ]
Molchanov, I. [2 ]
Schulte, M. [3 ]
机构
[1] Karlsruhe Inst Technol, Inst Stochast, Karlsruhe, Germany
[2] Univ Bern, Inst Math Stat & Actuarial Sci, Bern, Switzerland
[3] Hamburg Univ Technol, Inst Math, Hamburg, Germany
基金
瑞士国家科学基金会;
关键词
Kabanov-Skorohod integral; Poisson process; Normal approximation; Stein's method; Malliavin calculus;
D O I
10.1007/s10959-023-01287-0
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We consider the normal approximation of Kabanov-Skorohod integrals on a general Poisson space. Our bounds are for the Wasserstein and the Kolmogorov distance and involve only difference operators of the integrand of the Kabanov-Skorohod integral. The proofs rely on the Malliavin-Stein method and, in particular, on multiple applications of integration by parts formulae. As examples, we study some linear statistics of point processes that can be constructed by Poisson embeddings and functionals related to Pareto optimal points of a Poisson process.
引用
收藏
页码:1124 / 1167
页数:44
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