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1. Conditional Stein approximation for Itô and Skorohod integrals.

Author

Privault, Nicolas and She, Qihao

Subjects
*MALLIAVIN calculus, *EDGEWORTH expansions, *STOCHASTIC integrals, *BROWNIAN motion, *LAPLACE transformation
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. [ABSTRACT FROM AUTHOR]

Published
2017
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