Total variation distance for discretely observed Lévy processes: a Gaussian approximation of the small jumps
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Publication:2041829
DOI10.1214/20-AIHP1102zbMath1491.60063arXiv1810.02998MaRDI QIDQ2041829
Alexandra Carpentier, Céline Duval, Ester Mariucci
Publication date: 23 July 2021
Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.02998
Processes with independent increments; Lévy processes (60G51) Inference from stochastic processes (62M99) Distribution theory (60E99)
Related Items (4)
Non-asymptotic control of the cumulative distribution function of Lévy processes ⋮ Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ Spectral-free estimation of Lévy densities in high-frequency regime ⋮ Total variation distance between a jump-equation and its Gaussian approximation
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