3 citations · 5 across the 7 of their papers we have counts for
5 papers · 1 filter
Multivariate CLT for Lévy processes: convergence rates without moment assumptions
Jorge González Cázares, David Kramer-Bang, Aleksandar Mijatović
We prove that the norm of a -dimensional Lévy process possesses a finite second moment if and only if the convex distance between an appropriately rescaled process at time a…
Rates of convergence for multivariate SDEs driven by Lévy processes in the small-time stable domain of attraction
Jorge González Cázares, David Kramer-Bang
This paper explores the rates of convergence of solutions for multivariate stochastic differential equations (SDEs) driven by Lévy processes within the small-time stable domain of…
Asymptotically optimal Wasserstein couplings for the small-time stable domain of attraction
Jorge González Cázares, David Kramer-Bang, Aleksandar Mijatović
We develop two novel couplings between general pure-jump Lévy processes in and apply them to obtain upper bounds on the rate of convergence in an appropriate Wasserstein dis…
A Gaussian approximation theorem for Lévy processes
David Bang, Jorge Ignacio González Cázares, Aleksandar Mijatović
Without higher moment assumptions, this note establishes the decay of the Kolmogorov distance in a central limit theorem for Lévy processes. This theorem can be viewed as a continu…
Joint density of a stable process and its supremum: regularity and upper bounds
Jorge González Cázares, Arturo Kohatsu Higa, Aleksandar Mijatović
This article uses a combination of three ideas from simulation to establish a nearly optimal polynomial upper bound for the joint density of the stable process and its associated s…