Third cumulant stein approximation for Poisson stochastic integrals
We derive Edgeworth-type expansions for Poisson stochastic integrals, based on cumulant operators defined by the Malliavin calculus. As a consequence we obtain Stein approximation bounds for stochastic integrals, which are based on third cumulants instead of the L -norm term found in the literature....
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| 格式: | Article |
| 語言: | English |
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2021
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| 在線閱讀: | https://hdl.handle.net/10356/148588 |
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| 機構: | Nanyang Technological University |
| 語言: | English |
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