Stein approximation for Itô and Skorohod integrals by Edgeworth type expansions

DOI10.1214/ECP.V20-3827MaRDI QIDQ2517261zbMATH OpenFDO

Authors Nicolas Privault

Publication date 17 August 2015

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/ECP.V20-3827

zbMATH Keywords

Brownian motioncumulantsEdgeworth-type expansionsItō integralMalliavin calculusmultiple stochastic integralsSkorokhod integralStein methodstochastic differential equationsWiener space

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Approximations to statistical distributions (nonasymptotic) (62E17)

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(4)

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• Edgeworth expansion by Stein's method

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