Transportation distances and noise sensitivity of multiplicative Lévy SDE with applications

DOI10.1016/J.SPA.2017.09.003MaRDI QIDQ1635898zbMATH OpenOpenAlexFDO

Authors Tetiana Kosenkova, Jan M. Gairing, Michael Högele

Publication date 1 June 2018

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.07666

zbMATH Keywords

model selectiontime seriesWasserstein distancestochastic differential equationsheavy-tailed distributionsmultiplicative Lévy noiseLévy type processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to environmental and related topics (62P12) Stable stochastic processes (60G52)

Abstract: This article assesses the distance between the laws of stochastic differential equations with multiplicative L'evy noise on path space in terms of their characteristics. The notion of transportation distance on the set of L'evy kernels introduced by Kosenkova and Kulik yields a natural and statistically tractable upper bound on the noise sensitivity. This extends recent results for the additive case in terms of coupling distances to the multiplicative case. The strength of this notion is shown in a statistical implementation for simulations and the example of a benchmark time series in paleoclimate.

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Cited in

(3)

• Coupling distances between Lévy measures and applications to noise sensitivity of SDE
• On the calibration of Lévy driven time series with coupling distances and an application in paleoclimate
• Transportation distance between the Lévy measures and stochastic equations for Lévy-type processes

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