Third cumulant stein approximation for Poisson stochastic integrals
We derive Edgeworth-type expansions for Poisson stochastic integrals, based on cumulant operators defined by the Malliavin calculus. As a consequence we obtain Stein approximation bounds for stochastic integrals, which are based on third cumulants instead of the L -norm term found in the literature....
Main Author: | Privault, Nicolas |
---|---|
Other Authors: | School of Physical and Mathematical Sciences |
Format: | Journal Article |
Language: | English |
Published: |
2021
|
Subjects: | |
Online Access: | https://hdl.handle.net/10356/148588 |
Similar Items
-
Stein approximation for Ito and Skorohod integrals by Edgeworth type expansions
by: Privault, Nicolas
Published: (2015) -
A Stochastic Poisson Structure
by: Rémi Léandre
Published: (2009-08-01) -
Functional inequalities for marked point processes
by: Flint, Ian, et al.
Published: (2020) -
Bound for an Approximation of Invariant Density of Diffusions via Density Formula in Malliavin Calculus
by: Yoon-Tae Kim, et al.
Published: (2023-05-01) -
Fourth Cumulant Bound of Multivariate Normal Approximation on General Functionals of Gaussian Fields
by: Yoon-Tae Kim, et al.
Published: (2022-04-01)