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Wasserstein distance estimates for jump-diffusion processes.
- Source :
-
Stochastic Processes & Their Applications . Jun2024, Vol. 172, pN.PAG-N.PAG. 1p. - Publication Year :
- 2024
-
Abstract
- We derive Wasserstein distance bounds between the probability distributions of a stochastic integral (Itô) process with jumps (X t) t ∈ [ 0 , T ] and a jump-diffusion process (X t ∗) t ∈ [ 0 , T ] . Our bounds are expressed using the stochastic characteristics of (X t) t ∈ [ 0 , T ] and the jump-diffusion coefficients of (X t ∗) t ∈ [ 0 , T ] evaluated in X t , and apply in particular to the case of different jump characteristics. Our approach uses stochastic calculus arguments and L p integrability results for the flow of stochastic differential equations with jumps, without relying on the Stein equation. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03044149
- Volume :
- 172
- Database :
- Academic Search Index
- Journal :
- Stochastic Processes & Their Applications
- Publication Type :
- Academic Journal
- Accession number :
- 176810616
- Full Text :
- https://doi.org/10.1016/j.spa.2024.104334