Last, Günter; Molchanov, Ilya; Schulte, Matthias (2024). Normal approximation of Kabanov–Skorohod integrals on Poisson spaces. Journal of theoretical probability Springer 10.1007/s10959-023-01287-0
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We consider the normal approximation of Kabanov–Skorohod integrals on a general Poisson space. Our bounds are for the Wasserstein and the Kolmogorov distance and involve only difference operators of the integrand of the Kabanov–Skorohod integral. The proofs rely on the Malliavin–Stein method and, in particular, on multiple applications of integration by parts formulae. As examples, we study some linear statistics of point processes that can be constructed by Poisson embeddings and functionals related to Pareto optimal points of a Poisson process.
Item Type: |
Journal Article (Original Article) |
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Division/Institute: |
08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science |
UniBE Contributor: |
Molchanov, Ilya |
Subjects: |
300 Social sciences, sociology & anthropology > 360 Social problems & social services 500 Science > 510 Mathematics |
ISSN: |
0894-9840 |
Publisher: |
Springer |
Language: |
English |
Submitter: |
Ilya Molchanov |
Date Deposited: |
02 Apr 2024 16:41 |
Last Modified: |
02 Apr 2024 16:50 |
Publisher DOI: |
10.1007/s10959-023-01287-0 |
BORIS DOI: |
10.48350/195066 |
URI: |
https://boris.unibe.ch/id/eprint/195066 |
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