Stein approximation for Ito and Skorohod integrals by Edgeworth type expansions

• 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
• Institution: Nanyang Technological University

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...