Stein approximation for Ito and Skorohod integrals by Edgeworth type expansions

被引：3
|
作者：
Privault, Nicolas [1 ]
机构：
[1] Nanyang Technol Univ, Sch Phys & Math Sci, Singapore 639798, Singapore
来源：
ELECTRONIC COMMUNICATIONS IN PROBABILITY | 2015年 / 20卷
关键词：
Stein method; cumulants; Malliavin calculus; Wiener space; Edgeworth expansions; Ito integral; Skorohod integral; GAUSSIAN FIELDS; WIENER SPACE; FUNCTIONALS; IDENTITIES; THEOREM; RATES;
D O I：
10.1214/ECP.v20-3827
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 derive Edgeworth-type expansions for Skorohod and Ito integrals with respect to Brownian motion, based on cumulant operators defined by the Malliavin calculus. As a consequence we obtain Stein approximation bounds for stochastic integrals, which apply to SDE solutions and to multiple stochastic integrals.
引用
收藏
页码：1 / 10
页数：10
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