Non-asymptotic control of the cumulative distribution function of Lévy processes

DOI10.1017/apr.2021.55zbMath1499.60145arXiv2003.09281OpenAlexW4214964993MaRDI QIDQ5055333

Ester Mariucci, Céline Duval

Publication date: 13 December 2022

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.09281

zbMATH Keywords

Lévy processesinfinitely divisible distributionssmall jumps

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Design of statistical experiments (62K99)

Cites Work

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• Spectral-free estimation of Lévy densities in high-frequency regime
• Total variation distance for discretely observed Lévy processes: a Gaussian approximation of the small jumps
• Density in small time for Lévy processes
• Financial Modelling with Jump Processes

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