Coupling distances between Lévy measures and applications to noise sensitivity of SDE

DOI10.1142/S0219493715500094zbMath1318.60054MaRDI QIDQ5251126

Alexei M. Kulik, Tetiana Kosenkova, Michael A. Högele, Jan M. Gairing

Publication date: 22 May 2015

Published in: Stochastics and Dynamics (Search for Journal in Brave)

zbMATH Keywords

stochastic differential equationsnoise sensitivitycoupling methodsLévy measuresstatistical model selectionLévy diffusion approximationSkorokhod's invariance principleWasserstein-Kantorovich-Rubinstein metric

Mathematics Subject Classification ID

Related Items (6)

Transportation distances and noise sensitivity of multiplicative Lévy SDE with applications ⋮ Wasserstein and total variation distance between marginals of Lévy processes ⋮ Approximation of Bayesian models for time-to-event data ⋮ How close are time series to power tail Lévy diffusions? ⋮ Coupling Lévy measures and comparison principles for viscosity solutions ⋮ On the Calibration of Lévy Driven Time Series with Coupling Distances and an Application in Paleoclimate

Uses Software

• DLMF

Cites Work

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