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2015 Stein approximation for Itô and Skorohod integrals by Edgeworth type expansions
Nicolas Privault
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Electron. Commun. Probab. 20: 1-10 (2015). DOI: 10.1214/ECP.v20-3827

Abstract

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 integrals.

Citation

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Nicolas Privault. "Stein approximation for Itô and Skorohod integrals by Edgeworth type expansions." Electron. Commun. Probab. 20 1 - 10, 2015. https://doi.org/10.1214/ECP.v20-3827

Information

Accepted: 25 April 2015; Published: 2015
First available in Project Euclid: 7 June 2016

zbMATH: 1321.60118
MathSciNet: MR3342169
Digital Object Identifier: 10.1214/ECP.v20-3827

Subjects:
Primary: 60H07
Secondary: 60G15, 60H05, 62E17

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