Implementable coupling of Lévy process and Brownian motion
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Publication:2239264
DOI10.1016/j.spa.2021.09.008zbMath1479.60096arXiv2103.11475OpenAlexW3137823413MaRDI QIDQ2239264
Jevgenijs Ivanovs, Vladimir Fomichov, Jorge González Cázares
Publication date: 3 November 2021
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2103.11475
Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65) Functional limit theorems; invariance principles (60F17)
Related Items (2)
On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance ⋮ A note on recovering the Brownian motion component from a Lévy process
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