Wasserstein distance estimates for jump-diffusion processes

Abstract: We derive Wasserstein distance bounds between the probability distributions of a stochastic integral (It^o) process with jumps

(X_{t})_{t i n [0, T]}

and a jump-diffusion process

(X^{a} s t_{t})_{t i n [0, T]}

. Our bounds are expressed using the stochastic characteristics of

(X_{t})_{t i n [0, T]}

and the jump-diffusion coefficients of

(X^{a} s t_{t})_{t i n [0, T]}

evaluated in

X_{t}

, and apply in particular to the case of different jump characteristics. Our approach uses stochastic calculus arguments and

L^{p}

integrability results for the flow of stochastic differential equations with jumps, without relying on the Stein equation.

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