Stein’s method and Normal approximation of Poisson functionals

We combine Stein's method with a version of Malliavin calculus on the Poisson space. As a result, we obtain explicit Berry-Esseen bounds in Central limit theorems (CLTs) involving multiple Wiener-Ito integrals with respect to a general Poisson measure. We provide several applications to CLTs related to Ornstein-Uhlenbeck Levy processes.

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