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arXiv · 2211.02009

Normal approximation of Kabanov-Skorohod integrals on Poisson spaces

Günter Last·Ilya Molchanov·Matthias Schulte
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Abstract

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.

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Günter Last, Ilya Molchanov, Matthias Schulte. 2022-11-03. Normal approximation of Kabanov-Skorohod integrals on Poisson spaces. https://doi.org/10.1007/s10959-023-01287-0

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