A note on recovering the Brownian motion component from a Levy process
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Publication:6392777
DOI10.1214/22-ECP477arXiv2203.02237MaRDI QIDQ6392777
Publication date: 4 March 2022
Abstract: Gonzalez Cazares and Ivanovs (2021) suggested a new method for "recovering" the Brownian motion component from the trajectory of a Levy process that required sampling from an independent Brownian motion process. We show that such a procedure works equally well without any additional source of randomness if one uses normal quantiles instead of the ordered increments of the auxiliary Brownian motion process.
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