TY  - INPR
A1  - Gairing, Jan
A1  - Högele, Michael
A1  - Kosenkova, Tetiana
T1  - Transportation distances and noise sensitivity of multiplicative Lévy SDE with applications
N2  - This article assesses the distance between the laws of stochastic differential equations with multiplicative Lévy noise on path space in terms of their characteristics. The notion of transportation distance on the set of Lévy kernels introduced by Kosenkova and Kulik yields a natural and statistically tractable upper bound on the noise sensitivity. This extends recent results for the additive case in terms of coupling distances to the multiplicative case. The strength of this notion is shown in a statistical implementation for simulations and the example of a benchmark time series in paleoclimate.
T3  - Preprints des Instituts für Mathematik der Universität Potsdam - 5 (2016) 2 
KW  - stochastic differential equations
KW  - multiplicative Lévy noise
KW  - Lévy type processes
KW  - heavy-tailed distributions
KW  - model selection
KW  - Wasserstein distance
KW  - time series
Y1  - 2016
U6  - http://nbn-resolving.de/urn/resolver.pl?urn:nbn:de:kobv:517-opus4-86693
SN  - 2193-6943
VL  - 5
IS  - 2
PB  - Universitätsverlag Potsdam
CY  - Potsdam
ER  -