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Malliavin-Stein method for variance-gamma approximation on Wiener space
8 references·0 citing·19 second hop
Malliavin-Stein method for variance-gamma approximation on Wiener space (2015)Malliavin-Stein method for variance-gamma…The optimal fourth moment theorem (2015)The optimal fourth moment the…Asymptotic independence of multiple Wiener–Itô integrals and the resulting limit laws (2014)Asymptotic independence of mu…Cumulants on the Wiener space (2009)Cumulants on the Wiener spaceStein’s method on Wiener chaos (2008)Stein’s method on Wiener chaosThe Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Central limit theorems for sequences of multiple stochastic integrals (2005)Central limit theorems for se…Use of exchangeable pairs in the analysis of simulations (2004)Use of exchangeable pairs in …The Malliavin Calculus and Related Topics (1995)The Malliavin Calculus and Re…THE MALLIAVIN CALCULUS AND RELATED TOPICS (Probability and its Applications) (1997)Generalization of the Nualart–Peccati criterion (2016)Optimal rates for parameter estimation of stationary Gaussian processes (2018)Stochastic Analysis (1997)Density Formula and Concentration Inequalities with Malliavin Calculus (2009)Multivariate normal approximation using Stein’s method and Malliavin calculus (2010)Stein’s method and Normal approximation of Poisson functionals (2010)Gaussian Limits for Vector-valued Multiple Stochastic Integrals (2004)Lectures on Gaussian Approximations with Malliavin Calculus (2013)Quadratic variations for the fractional-colored stochastic heat equation (2014)Weak convergence to fractional brownian motion and to the rosenblatt process (1975)Absolute continuity and convergence of densities for random vectors on Wiener chaos (2013)Statistical inference for Vasicek-type model driven by Hermite processes (2018)Continuous Martingales and Brownian Motion (1999)Parameter estimation for fractional Ornstein–Uhlenbeck processes (2010)Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Numerical Challenges in the Use of Polynomial Chaos Representations for Stochastic Processes (2004)
this work references cited by second hop

References

  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 1995The Malliavin Calculus and Related Topics1,545 cited
  • 2005Central limit theorems for sequences of multiple stochastic integrals442 cited
  • 2008Stein’s method on Wiener chaos415 cited
  • 2004Use of exchangeable pairs in the analysis of simulations108 cited
  • 2015The optimal fourth moment theorem81 cited
  • 2009Cumulants on the Wiener space61 cited
  • 2014Asymptotic independence of multiple Wiener–Itô integrals and the resulting limit laws56 cited

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