Conditional Stein approximation for Itô and Skorohod integrals

Nicolas Privault and Qihao She

Statistics & Probability Letters, 2017, vol. 128, issue C, 1-7

Abstract: We derive conditional 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 conditional Stein approximation bounds for multiple stochastic integrals and quadratic Brownian functionals.

Keywords: Stein method; Malliavin calculus; Edgeworth expansions; Stochastic integral; Conditioning; Quadratic Brownian functionals (search for similar items in EconPapers)
Date: 2017
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DOI: 10.1016/j.spl.2017.04.001

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