Coupling distances between Lévy measures and applications to noise sensitivity of SDE
Coupling distances between Lévy measures and applications to noise sensitivity of SDE
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Lévy 测量和应用之间的耦合距离与 SDE 噪声敏感性
DOI：
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发表时间：
2015
期刊：
影响因子：
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通讯作者：
A. Kulik
中科院分区：
文献类型：
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作者：
Jan Gairing;Michael A. Högele;Tetiana Kosenkova;A. Kulik
我们在征收测量空间上介绍了耦合距离的概念，以量化收敛速度，以限制征费的征收跳台扩散，尤其是在征费测量的尾部。在耦合距离方面的两个征费差异之间的路径空间上的Wasserstein-Kantorovich-Rubinstein距离估计。具有古气候数据的维度概念气候模型。
We introduce the notion of coupling distances on the space of Levy measures in order to quantify rates of convergence towards a limiting Levy jump diffusion in terms of its characteristic triplet, in particular in terms of the tail of the Levy measure. The main result yields an estimate of the Wasserstein–Kantorovich–Rubinstein distance on path space between two Levy diffusions in terms of the coupling distances. We want to apply this to obtain precise rates of convergence for Markov chain approximations and a statistical goodness-of-fit test for low-dimensional conceptual climate models with paleoclimatic data.