TY  - JOUR
A1  - Gairing, Jan
A1  - Högele, Michael
A1  - Kosenkova, Tetiana
A1  - Kulik, Alexei Michajlovič
T1  - Coupling distances between Levy measures and applications to noise sensitivity of SDE
JF  - Stochastics and dynamic
N2  - 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.
KW  - Levy diffusion approximation
KW  - coupling methods
KW  - principle
KW  - statistical model selection
Y1  - 2015
U6  - https://doi.org/10.1142/S0219493715500094
SN  - 0219-4937
SN  - 1793-6799
VL  - 15
IS  - 2
PB  - World Scientific
CY  - Singapore
ER  -