Implementable coupling of Lévy process and Brownian motion (Q2239264): Difference between revisions

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-.1016/j.spa.2021.09.008
@@ Property / DOI: 10.1016/j.spa.2021.09.008 / rank @@
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+W3137823413
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+.11475
@@ Property / arXiv ID: 2103.11475 / rank @@
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+Approximations of small jumps of Lévy processes with a view towards simulation
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+Exact rate of convergence of the expected \(W_2\) distance between the empirical and true Gaussian distribution
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+Q3992980
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+Quantifying Distributional Model Risk via Optimal Transport
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+One-dimensional empirical measures, order                     statistics, and Kantorovich transport                     distances
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+Constructions of coupling processes for Lévy processes
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+Q2904079
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+Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction
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+A multilevel Monte Carlo algorithm for Lévy-driven stochastic differential equations
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+Panjer recursion versus FFT for compound distributions
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+Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations
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+Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation
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+Small-time moment asymptotics for Lévy processes
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+Simulation and approximation of Lévy-driven stochastic differential equations
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+Multilevel Monte Carlo Methods
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+Multilevel Monte Carlo for exponential Lévy models
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+Recovering Brownian and jump parts from high-frequency observations of a Lévy process
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+Error Bounds for Numerical Inversion of a Probability Characteristic Function
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+On asymptotic errors in discretization of processes
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+An embedding of compensated compound Poisson processes with applications to local times
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+An approximation of partial sums of independent RV'-s, and the sample DF. I
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+Coupling and exponential ergodicity for stochastic differential equations driven by Lévy processes
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+Wasserstein and total variation distance between marginals of Lévy processes
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+On the $\gamma$-Variation of Processes with Stationary Independent Increments
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+Approximations for stochastic differential equations with reflecting convex boundaries
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+Moment Convergence of Sample Extremes
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+Mass transportation problems. Vol. 1: Theory. Vol. 2: Applications
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+Upper bounds for minimal distances in the central limit theorem
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+Asymptotic Theory of Weakly Dependent Random Processes
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+Q4943608
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+Multidimensional version of the results of Komlos, Major and Tusnady for vectors with finite exponential moments
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@@ Property / DOI @@
+.1016/J.SPA.2021.09.008
@@ Property / DOI: 10.1016/J.SPA.2021.09.008 / rank @@
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