A note on recovering the Brownian motion component from a Lévy process

DOI10.1214/22-ECP477MaRDI QIDQ2675989

Konstantin A. Borovkov

Publication date: 26 September 2022

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2203.02237

zbMATH Keywords

Brownian motionLévy processquantile functionhigh frequency sampling

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Brownian motion (60J65)

Cites Work

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• Recovering Brownian and jump parts from high-frequency observations of a Lévy process
• Exact rate of convergence of the expected \(W_2\) distance between the empirical and true Gaussian distribution
• Implementable coupling of Lévy process and Brownian motion
• Probabilistic Symmetries and Invariance Principles

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