Third cumulant Stein approximation for Poisson stochastic integrals

DOI10.1007/S10959-018-0817-1MaRDI QIDQ2312781zbMATH OpenOpenAlexWikidataFDO

Authors Nicolas Privault

Publication date 18 July 2019

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://hdl.handle.net/10356/148588

zbMATH Keywords

cumulantsEdgeworth expansionsMalliavin calculusPoisson stochastic integralStein approximation

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Approximations to statistical distributions (nonasymptotic) (62E17)

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Cites work

• Asymptotic expansions based on smooth functions in the central limit theorem
• Chaotic and variational calculus in discrete and continuous time for the poisson process
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• Cumulants on the Wiener space
• De Rham-Hodge decomposition and vanishing of harmonic forms by derivation operators on the Poisson space
• scientific article; zbMATH DE number 45789 (Why is no real title available?)
• scientific article; zbMATH DE number 4122983 (Why is no real title available?)
• Integration by parts for Poisson processes
• Laplace transform identities and measure-preserving transformations on the Lie-Wiener-Poisson spaces
• Normal Approximation by Stein’s Method
• Normal approximations with Malliavin calculus. From Stein's method to universality
• Optimal Berry-Esseen rates on the Wiener space: the barrier of third and fourth cumulants
• Optimal convergence rates and one-term Edgeworth expansions for multi-dimensional functionals of Gaussian fields
• Probability approximation by Clark-Ocone covariance representation
• Stein approximation for Itô and Skorohod integrals by Edgeworth type expansions
• Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
• Stein's method and normal approximation of Poisson functionals
• Stein's method on Wiener chaos
• The Malliavin–Stein Method on the Poisson Space
• The optimal fourth moment theorem

Cited in

(5)

• Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus
• Conditional Stein approximation for Itô and Skorohod integrals
• Stein approximation for Itô and Skorohod integrals by Edgeworth type expansions
• Stein normal approximation for multidimensional Poisson random measures by third cumulant expansions
• Normal approximation of compound Hawkes functionals

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