Conditional Stein approximation for It(o)over-cap and Skorohod integrals

被引：0

作者：

Privault, Nicolas ^{[1
]}

She, Qihao ^{[1
]}

机构：

[1] Nanyang Technol Univ, Sch Phys & Math Sci, Div Math Sci, 21 Nanyang Link, Singapore 637371, Singapore

来源：

STATISTICS & PROBABILITY LETTERS | 2017年 / 128卷

关键词：

Stein method; Malliavin calculus; Edgeworth expansions; Stochastic integral; Conditioning; Quadratic Brownian functionals;

D O I：

10.1016/j.spl.2017.04.001

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 conditional Edgeworth-type expansions for Skorohod and It (o) over cap integrals with respect to Brownian motion, based on cumulant operators defined by the Malliavin calculus. As a consequence we obtain conditional Stein approximation bounds for multiple stochastic integrals and quadratic Brownian functionals. (C) 2017 Elsevier B.V. All rights reserved.

引用

页码：1 / 7

页数：7

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