Coupling distances between Levy measures and applications to noise sensitivity of SDE
- 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.
| Author details: | Jan Gairing, Michael HögeleGND, Tetiana Kosenkova, Alexei Michajlovič KulikORCiDGND |
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| DOI: | https://doi.org/10.1142/S0219493715500094 |
| ISSN: | 0219-4937 |
| ISSN: | 1793-6799 |
| Title of parent work (English): | Stochastics and dynamic |
| Publisher: | World Scientific |
| Place of publishing: | Singapore |
| Publication type: | Article |
| Language: | English |
| Year of first publication: | 2015 |
| Publication year: | 2015 |
| Release date: | 2017/03/27 |
| Tag: | Levy diffusion approximation; coupling methods; principle; statistical model selection |
| Volume: | 15 |
| Issue: | 2 |
| Number of pages: | 25 |
| Funding institution: | International Research Training Group (IRTG) [1740]; Mathematics Department of UNICAMP, Brazil; DAAD [55518603] |
| Organizational units: | Mathematisch-Naturwissenschaftliche Fakultät / Institut für Mathematik |
| Peer review: | Referiert |
