Coupling distances between Lévy measures and applications to noise sensitivity of SDE
We introduce the notion of coupling distances on the space of Lévy measures in order to quantify rates of convergence towards a limiting Lévy jump diffusion in terms of its characteristic triplet, in particular in terms of the tail of the Lévy measure. The main result yields an estimate of the Wasse...
| Main Authors: | , , , |
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| Format: | Others |
| Language: | English |
| Published: |
Universität Potsdam
2013
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| Subjects: | |
| Online Access: | http://nbn-resolving.de/urn:nbn:de:kobv:517-opus-68886 http://opus.kobv.de/ubp/volltexte/2013/6888/ |