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math.PR2017
Wasserstein and total variation distance between marginals of Lévy processes
Ester Mariucci, Markus Reiß
We present upper bounds for the Wasserstein distance of order between the marginals of Lévy processes, including Gaussian approximations for jumps of infinite activity. Using t…
math.PR2017
Spectral-free estimation of Lévy densities in high-frequency regime
Céline Duval, Ester Mariucci
We construct an estimator of the Lévy density of a pure jump Lévy process, possibly of infinite variation, from the discrete observation of one trajectory at high frequency. The no…