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arXiv:0807.5035 [math.PR]AbstractReferencesReviewsResources

Stein's method and normal approximation of Poisson functionals

Giovanni Peccati, Josep Lluís Solé, Murad S. Taqqu, Frederic Utzet

Published 2008-07-31Version 1

We combine Stein's method with a version of Malliavin calculus on the Poisson space. As a result, we obtain explicit Berry-Ess\'een bounds in Central Limit Theorems (CLTs) involving multiple Wiener-It\^o integrals with respect to a general Poisson measure. We provide several applications to CLTs related to Ornstein-Uhlenbeck L\'evy processes.

Comments: 32 pages
Categories: math.PR
Subjects: 60F05, 60G51, 60G60, 60H05
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