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

页码：1 / 10

页数：10

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