Stein's method and normal approximation of Poisson functionals

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We combine Stein's method with a version of Malliavin calculus on the Poisson space. As a result, we obtain explicit Berry-Esséen bounds in Central Limit Theorems (CLTs) involving multiple Wiener-Itô integrals with respect to a general Poisson measure. We provide several applications to CLTs related to Ornstein-Uhlenbeck Lévy processes.
32 pages

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Probability, 60F05; 60G51; 60G60; 60H05

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http://salesiana.dossiersoluciones.com/handle/123456789/166150

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/0807.5035
 http://arxiv.org/abs/0807.5035

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arXiv