Probability approximation by Clark-Ocone covariance representation

DOI10.1214/EJP.v18-2787zbMath1308.60069OpenAlexW2092126654MaRDI QIDQ388986

Giovanni Luca Torrisi, Nicolas Privault

Publication date: 17 January 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/ejp.v18-2787

zbMATH Keywords

Malliavin calculusClark-Ocone formulaPoisson spaceWasserstein distanceWiener spaceintegration by parts formulaStein-Chen methodtotal variation distancePoisson stochastic integrals

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Random measures (60G57) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

Related Items (6)

Berry-Esseen bounds for functionals of independent random variables ⋮ An integration by parts formula for functionals of the Dirichlet-ferguson measure, and applications ⋮ Gaussian estimates for the solutions of some one-dimensional stochastic equations ⋮ Stein approximation for functionals of independent random sequences ⋮ Multivariate second order Poincaré inequalities for Poisson functionals ⋮ Third cumulant Stein approximation for Poisson stochastic integrals

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