Please use this identifier to cite or link to this item: https://hdl.handle.net/10356/80940
Title: Stein approximation for Ito and Skorohod integrals by Edgeworth type expansions
Authors: Privault, Nicolas
Keywords: Wiener space
Stein method
Malliavin calculus
Itô integral
Skorohod integral
Edgeworth expansions
Cumulants
Issue Date: 2015
Source: Privault, N. (2015). Stein approximation for Ito and Skorohod integrals by Edgeworth type expansions. Electronic Communications in Probability, 20, 35-.
Series/Report no.: Electronic Communications in Probability
Abstract: We derive Edgeworth-type expansions for Skorohod and Itô 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.
URI: https://hdl.handle.net/10356/80940
http://hdl.handle.net/10220/39028
ISSN: 1083-589X
DOI: 10.1214/ECP.v20-3827
Rights: This work is licensed under a Creative Commons Attribution 3.0 License.
Fulltext Permission: open
Fulltext Availability: With Fulltext
Appears in Collections:SPMS Journal Articles

Files in This Item:
File Description SizeFormat 
Stein approximation for Itô and Skorohod integrals by Edgeworth type expansions.pdf193.67 kBAdobe PDFThumbnail
View/Open

SCOPUSTM   
Citations 50

2
Updated on Mar 9, 2021

PublonsTM
Citations 50

1
Updated on Mar 7, 2021

Page view(s) 50

272
Updated on May 10, 2021

Download(s) 50

91
Updated on May 10, 2021

Google ScholarTM

Check

Altmetric


Plumx

Items in DR-NTU are protected by copyright, with all rights reserved, unless otherwise indicated.