A multi-dimensional central limit bound and its application to the Euler approximation for Lévy-sdes

DOI10.1051/PS/2017021zbMATH Open1411.60092arXiv1609.08037OpenAlexW2527656131MaRDI QIDQ4629952FDOQ4629952

Authors: Xīlíng Zhāng 

Publication date: 28 March 2019

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Abstract: Rio gave a concise bound for the central limit theorem in the Vaserstein distances, which is a ratio between some higher moments and some powers of the variance. As a corollary, it gives an estimate for the normal approximation of the small jumps of the L'evy processes, and Fournier applied that to the Euler approximation of L'evy-driven stochastic differential equations. However both results are restricted to the one-dimensional case. It will be shown in this article that, following Davie's idea, one can generalise Rio's result to multidimensional case, and the number of moments required is independent of the dimension. Also two different approaches are developed to simulate multidimensional L'evy SDEs: one as a corollary to the central limit bound, the other directly derived from the L'evy-Khinchine formula.

Full work available at URL: https://arxiv.org/abs/1609.08037

Recommendations

• The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
• Simulation and approximation of Lévy-driven stochastic differential equations
• Hellinger and total variation distance in approximating Lévy driven SDEs
• The approximate Euler method for Lévy driven stochastic differential equations
• A Gaussian approximation theorem for Lévy processes

zbMATH Keywords

central limit theoremstochastic differential equationsapproximationsLévy processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

Cites Work

• Approximations of small jumps of Lévy processes with a view towards simulation
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• Title not available (Why is that?)
• Title not available (Why is that?)
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Title not available (Why is that?)
• Multidimensional version of the results of Komlos, Major and Tusnady for vectors with finite exponential moments
• The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
• Transportation cost for Gaussian and other product measures
• Rate of convergence and Edgeworth-type expansion in the entropic central limit theorem
• Asymptotic constants for minimal distance in the central limit theorem
• Upper bounds for minimal distances in the central limit theorem
• Extensions of results of Komlós, Major, and Tusnády to the multivariate case
• Title not available (Why is that?)
• Berry-Esseen bounds and Edgeworth expansions in the central limit theorem for transport distances
• Simulation and approximation of Lévy-driven stochastic differential equations
• Title not available (Why is that?)
• Asymptotic of grazing collisions for the spatially homogeneous Boltzmann equation for soft and Coulomb potentials
• Rates of approximation in the multidimensional invariance principle for sums of i.i.d. random vectors with finite moments

Cited In (2)

• Bounds for the Multidimensional Lévy Concentration Function
• Title not available (Why is that?)

This page was built for publication: A multi-dimensional central limit bound and its application to the Euler approximation for Lévy-sdes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4629952)