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

DOI10.1051/PS/2017021MaRDI QIDQ4629952zbMATH OpenOpenAlexFDO

Authors Xīlíng Zhāng

Publication date 28 March 2019

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

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

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)

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.

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Cited in

(2)

• Bounds for the Multidimensional Lévy Concentration Function
• scientific article; zbMATH DE number 7113453 (Why is no real title available?)

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