Stein approximation for Ito and Skorohod integrals by Edgeworth type expansions

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...

Saved in:

書目詳細資料
主要作者:	Privault, Nicolas
其他作者:	School of Physical and Mathematical Sciences
格式:	Article
語言:	English
出版:	2015
主題:	Wiener space Stein method Malliavin calculus Itô integral Skorohod integral Edgeworth expansions Cumulants
在線閱讀:	https://hdl.handle.net/10356/80940 http://hdl.handle.net/10220/39028
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Nanyang Technological University
語言:	English

相似書籍

Third cumulant stein approximation for Poisson stochastic integrals
由: Privault, Nicolas
出版: (2021)

Itô-Henstock integral and Itô's formula for the operator-valued stochastic process
由: Labendia, Mhelmar A, et al.
出版: (2018)

An edgeworth expansion for U-statistics with weakly dependent observations
由: Loh, W.-L.
出版: (2014)

A STRATONOVICH - SKOROHOD INTEGRAL FORMULA FOR GAUSSIAN ROUGH PATHS
由: LIM NENG-LI
出版: (2017)

A note on edgeworth expansions for U-statistics under minimal conditions
由: Jing, B.-Y., et al.
出版: (2014)

Poisson discretizations of Wiener functionals and Malliavin operators with Wasserstein estimates
由: Privault, Nicolas, et al.
出版: (2021)

Functional inequalities for marked point processes
由: Flint, Ian, et al.
出版: (2020)

Generalized ITO integral and Henstock-Young integral
由: VARAYU BOONPOGKRONG
出版: (2010)

Malliavin calculus for Lévy processes with applications to finance
由: Di Nunno, Giulia, et al.
出版: (2017)

The Non-uniform Riemann Approach to Anticipating Stochastic Integrals
由: Seng, C.T., et al.
出版: (2014)

Multivariate, combinatorial and discretized normal approximations by Stein's method
由: FANG XIAO
出版: (2012)

Fundamental Theorem of Calculus for the Backwards Ito Integral
由: Arcede, Jayrold, et al.
出版: (2011)

Fundamental Theorem of Calculus for Backwards Ito Integral
由: Arcede, Jayrold, et al.
出版: (2013)

BILATERAL CONTRACTS UNDER XVA
由: LEE JUNBEOM
出版: (2018)

Henstock's multiple wiener integral and Henstock's version of Hu-Meyer theorem
由: Toh, T.-L., et al.
出版: (2014)

Exponential approximation by stein's method and spectral graph theory
由: Chatterjee, S., et al.
出版: (2014)

Characterization of stochastic equilibrium controls by the Malliavin calculus
由: Nguwi, Jiang Yu, et al.
出版: (2022)

On the binary expansion of a random integer
由: Barbour, A.D., et al.
出版: (2014)

Transformation and Differentiation of Henstock-Wiener Integrals
由: Boonpogkring, Varayu, et al.
出版: (2017)

Multivariate normal approximation with stein's method of exchangeable pairs under a general linearity condition
由: Reinert, G., et al.
出版: (2014)

Multivariate normal approximation with stein's method of exchangeable pairs under a general linearity condition
由: Reinert, G., et al.
出版: (2014)

Refined Inference on Long Memory in Realized Volatility
由: PHILLIPS, Peter C. B., et al.
出版: (2008)

On line integrals and Green's theorem for time scales: A discussion with some illustrations
由: Concepcion, Edward Roy G.
出版: (2019)

Stein's method, Palm theory and Poisson process approximation
由: Chen, L.H.Y., et al.
出版: (2014)

Applications of Malliavin calculus and white noise analysis in interest rate markets, and convertible bonds with and without symmetric informaiton
由: WONG MAN CHUI
出版: (2010)

Tích phân ngẫu nhiên Ito và một số hướng mở rộng tích phân ngẫu nhiên Ito
由: Vũ, Thị Khuyên
出版: (2017)

Stein’s method via induction
由: Chen, L.H.Y., et al.
出版: (2021)

Smoothing Local-to-Moderate Unit Root Theory
由: Peter C. B. PHILLIPS,, et al.
出版: (2010)

Broadband absorption tailoring of SiO2/Cu/ITO arrays based on hybrid coupled resonance mode
由: Lian, Jiqing, et al.
出版: (2019)

Stein approximation for functionals of independent random sequences
由: Privault, Nicolas, et al.
出版: (2018)

Saddlepoint approximation for student's t-statistic with no moment conditions
由: Jing, B.-Y., et al.
出版: (2014)

Saddlepoint approximation for student's t-statistic with no moment conditions
由: Jing, B.-Y., et al.
出版: (2014)

Confidence intervals based on local linear smoother
由: Chen, S.X., et al.
出版: (2014)

Phenomenology of actor-character empathy: Uncovering a kind of empathy through Edith Stein’s degrees of empathy
由: Dayacap, Bryle Louis T.
出版: (2022)

Persistency and Stein's Identity: Applications in Stochastic Discrete Optimization Problems
由: ZHENG ZHICHAO
出版: (2013)

From stein identities to moderate deviations
由: Chen, L.H.Y., et al.
出版: (2014)

Studies on Interface Structure of BBDMS-PPV/ITO System Using ADXPS Technique
由: Song, W.-J., et al.
出版: (2014)

A First-Order Stein Characterization for Absolutely Continuous Bivariate Distributions
由: Umali, Lester Charles A., et al.
出版: (2023)

Stein's method in high dimensions with applications
由: Röllin, A.
出版: (2014)

THE INTEGRABILITY OF HOLONOMY COCYCLE ON FOLIATED COMPLEX SURFACE
由: LI YIMIN
出版: (2020)