Coupling distances between Lévy measures and applications to noise sensitivity of SDE
| Autor: | Jan Gairing, Alexei Kulik, Michael Högele, Tetiana Kosenkova |
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| Rok vydání: | 2015 |
| Předmět: |
Mathematical optimization
Markov chain Jump diffusion Institut für Mathematik Coupling (probability) Space (mathematics) msc:60G51 Measure (mathematics) msc:60H10 msc:60J60 Modeling and Simulation msc:60J75 Convergence (routing) Noise sensitivity Path space msc:60F17 Statistical physics ddc:510 Mathematics |
| Zdroj: | Stochastics and Dynamics. 15:1550009 |
| ISSN: | 1793-6799 0219-4937 |
| DOI: | 10.1142/s0219493715500094 |
| Popis: | 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 Wasserstein–Kantorovich–Rubinstein distance on path space between two Lévy diffusions in terms of the coupling distances. We want to apply this to obtain precise rates of convergence for Markov chain approximations and a statistical goodness-of-fit test for low-dimensional conceptual climate models with paleoclimatic data. |
| Databáze: | OpenAIRE |
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