Wasserstein distance estimates for jump-diffusion processes

Wasserstein distance estimates for jump-diffusion processes

We derive Wasserstein distance bounds between the probability distributions of a stochastic integral (Itô) process with jumps (Xt)t∈[0,T] and a jump-diffusion process (Xt∗)t∈[0,T]. Our bounds are expressed using the stochastic characteristics of (Xt)t∈[0,T] and the jump-diffusion coefficients of (Xt...

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書目詳細資料
Main Authors:	Breton, Jean-Christophe, Privault, Nicolas
其他作者:	School of Physical and Mathematical Sciences
格式:	Article
語言:	English
出版:	2024
主題:	Mathematical Sciences Wasserstein distance Stochastic integrals
在線閱讀:	https://hdl.handle.net/10356/180130
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Nanyang Technological University
語言:	English

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