Gamma approximation of stochastic integrals by Nicholas, Susanto Tjandra

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Third cumulant stein approximation for Poisson stochastic integrals by Privault, Nicolas

“…We derive Edgeworth-type expansions for Poisson stochastic integrals, based on cumulant operators defined by the Malliavin calculus. …”
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Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus by Breton, Jean-Christophe, Privault, Nicolas

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Stein approximation for Ito and Skorohod integrals by Edgeworth type expansions by Privault, Nicolas

“…As a consequence we obtain Stein approximation bounds for stochastic integrals, which apply to SDE solutions and to multiple stochastic integrals.…”
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Girsanov identities for Poisson measures under quasi-nilpotent transformations by Privault, Nicolas

“…The proofs use combinatorial identities for the central moments of Poisson stochastic integrals.…”
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Asymptotic expansions and distribution properties for diffusion processes by She, Qihao

“…We then consider multiple stochastic integrals, where we obtain the Stein approximation bounds using the derived conditional Edgeworth-type expansions. …”
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Poisson sphere counting processes with random radii by Privault, Nicolas

“…The main results rely on moment formulas for Poisson stochastic integrals with random integrands.…”
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Stein approximation for functionals of independent random sequences by Privault, Nicolas, Serafin, Grzegorz

“…We also apply this method to multiple stochastic integrals that can be used to represent U-statistics, and include linear and quadratic functionals as particular cases.…”
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Moments of Markovian growth-collapse processes by Privault, Nicolas

“…We apply general moment identities for Poisson stochastic integrals with random integrands to the computation of the moments of Markovian growth-collapse processes. …”
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Normal approximation of compound Hawkes functionals by Khabou, Mahmoud, Privault, Nicolas, Réveillac, Anthony

“…We derive quantitative bounds in the Wasserstein distance for the approximation of stochastic integrals with respect to Hawkes processes by a normally distributed random variable. …”
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