Optimal Wasserstein-$1$ distance between SDEs driven by Brownian motion and stable processes

Changsong Deng, Rene L. Schilling, Lihu Xu

We are interested in the following two ${\mathbb{R}}^d$-valued stochastic differential equations (SDEs): \begin{gather*} d X_t=b(X_t)\,d t + σ\,d L_t, \quad X_0=x, %\label{BM-SDE} d…