TY  - INPR
A1  - Gairing, Jan
A1  - Högele, Michael
A1  - Kosenkova, Tetiana
A1  - Kulik, Alexei Michajlovič
T1  - Coupling distances between Lévy measures and applications to noise sensitivity of SDE
N2  - We introduce the notion of coupling distances on the space of Lévy measures in order to quantify rates of convergence towards a limiting Lévy jump diffusion in terms of its characteristic triplet, in particular in terms of the tail of the Lévy measure. The main result yields an estimate of the Wasserstein-Kantorovich-Rubinstein distance on path space between two Lévy diffusions in terms of the couping 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.
T3  - Preprints des Instituts für Mathematik der Universität Potsdam - 2(2013)16 
KW  - Lévy diffusion approximation
KW  - coupling methods
KW  - Skorokhod' s invariance principle
KW  - statistical model selection
Y1  - 2013
U6  - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus-68886
ER  -