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2014 $L_1$-distance for additive processes with time-homogeneous Lévy measures
Pierre Etoré, Ester Mariucci
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Electron. Commun. Probab. 19: 1-10 (2014). DOI: 10.1214/ECP.v19-3678

Abstract

We give an explicit bound for the $L_1$-distance between two additive processes of local characteristics $(f_j(\cdot),\sigma^2(\cdot),\nu_j)$, $j = 1,2$. The cases $\sigma =0$ and $\sigma(\cdot) > 0$ are both treated. We allow $\nu_1$ and $\nu_2$ to be time-homogeneous Lévy measures, possibly with infinite variation. Some examples of possible applications are discussed.<br /><br />

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Pierre Etoré. Ester Mariucci. "$L_1$-distance for additive processes with time-homogeneous Lévy measures." Electron. Commun. Probab. 19 1 - 10, 2014. https://doi.org/10.1214/ECP.v19-3678

Information

Accepted: 21 August 2014; Published: 2014
First available in Project Euclid: 7 June 2016

zbMATH: 1300.60017
MathSciNet: MR3254736
Digital Object Identifier: 10.1214/ECP.v19-3678

Subjects:
Primary: 60B10
Secondary: 60E15, 60G51

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