Conditional Stein approximation for Itô and Skorohod integrals

DOI10.1016/j.spl.2017.04.001zbMath1386.60195OpenAlexW2606626677MaRDI QIDQ2407483

Nicolas Privault, Qihao She

Publication date: 6 October 2017

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2017.04.001

zbMATH Keywords

Malliavin calculusconditioningstochastic integralStein methodquadratic Brownian functionalsedgeworth expansions

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Approximations to statistical distributions (nonasymptotic) (62E17)

Cites Work

• Unnamed Item
• Unnamed Item
• Cumulant operators and moments of the Itô and Skorohod integrals
• Stein's method on Wiener chaos
• Stein's method and exact Berry-Esseen asymptotics for functionals of Gaussian fields
• Asymptotic expansions based on smooth functions in the central limit theorem
• Laplace transform identities and measure-preserving transformations on the Lie-Wiener-Poisson spaces
• Cumulant operators for Lie-Wiener-Itô-Poisson stochastic integrals
• Stein approximation for Itô and Skorohod integrals by Edgeworth type expansions
• Hypoelliptic heat kernels on infinite-dimensional Heisenberg groups
• Optimal Berry-Esseen rates on the Wiener space: the barrier of third and fourth cumulants
• The Malliavin Calculus and Related Topics
• Normal Approximation by Stein’s Method
• Conditionally Gaussian stochastic integrals

This page was built for publication: Conditional Stein approximation for Itô and Skorohod integrals