Abstract
We combine Stein’s method with a version of Malliavin calculus on the Poisson space. As a result, we obtain explicit Berry–Esséen bounds in Central limit theorems (CLTs) involving multiple Wiener–Itô integrals with respect to a general Poisson measure. We provide several applications to CLTs related to Ornstein–Uhlenbeck Lévy processes.
Citation
G. Peccati. J. L. Solé. M. S. Taqqu. F. Utzet. "Stein’s method and Normal approximation of Poisson functionals." Ann. Probab. 38 (2) 443 - 478, March 2010. https://doi.org/10.1214/09-AOP477
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