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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Main Author:	Privault, Nicolas
Other Authors:	School of Physical and Mathematical Sciences
Format:	Article
Language:	English
Published:	2015
Subjects:	Wiener space Stein method Malliavin calculus Itô integral Skorohod integral Edgeworth expansions Cumulants
Online Access:	https://hdl.handle.net/10356/80940 http://hdl.handle.net/10220/39028
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Institution:	Nanyang Technological University
Language:	English

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spelling	sg-ntu-dr.10356-809402023-02-28T19:29:33Z Stein approximation for Ito and Skorohod integrals by Edgeworth type expansions Privault, Nicolas School of Physical and Mathematical Sciences Wiener space Stein method Malliavin calculus Itô integral Skorohod integral Edgeworth expansions Cumulants 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. Published version 2015-12-10T06:15:54Z 2019-12-06T14:17:53Z 2015-12-10T06:15:54Z 2019-12-06T14:17:53Z 2015 Journal Article Privault, N. (2015). Stein approximation for Ito and Skorohod integrals by Edgeworth type expansions. Electronic Communications in Probability, 20, 35-. 1083-589X https://hdl.handle.net/10356/80940 http://hdl.handle.net/10220/39028 10.1214/ECP.v20-3827 en Electronic Communications in Probability This work is licensed under a Creative Commons Attribution 3.0 License. 10 p. application/pdf
institution	Nanyang Technological University
building	NTU Library
continent	Asia
country	Singapore Singapore
content_provider	NTU Library
collection	DR-NTU
language	English
topic	Wiener space Stein method Malliavin calculus Itô integral Skorohod integral Edgeworth expansions Cumulants
spellingShingle	Wiener space Stein method Malliavin calculus Itô integral Skorohod integral Edgeworth expansions Cumulants Privault, Nicolas Stein approximation for Ito and Skorohod integrals by Edgeworth type expansions
description	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.
author2	School of Physical and Mathematical Sciences
author_facet	School of Physical and Mathematical Sciences Privault, Nicolas
format	Article
author	Privault, Nicolas
author_sort	Privault, Nicolas
title	Stein approximation for Ito and Skorohod integrals by Edgeworth type expansions
title_short	Stein approximation for Ito and Skorohod integrals by Edgeworth type expansions
title_full	Stein approximation for Ito and Skorohod integrals by Edgeworth type expansions
title_fullStr	Stein approximation for Ito and Skorohod integrals by Edgeworth type expansions
title_full_unstemmed	Stein approximation for Ito and Skorohod integrals by Edgeworth type expansions
title_sort	stein approximation for ito and skorohod integrals by edgeworth type expansions
publishDate	2015
url	https://hdl.handle.net/10356/80940 http://hdl.handle.net/10220/39028
_version_	1759856539130134528

Stein approximation for Ito and Skorohod integrals by Edgeworth type expansions

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