Stein approximation for Ito and Skorohod integrals by Edgeworth type expansions
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 i...
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| Format: | Article |
| Language: | English |
| Published: |
2015
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| Online Access: | https://hdl.handle.net/10356/80940 http://hdl.handle.net/10220/39028 |
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| Institution: | Nanyang Technological University |
| Language: | English |