Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus

• Main Authors: Breton, Jean-Christophe, Privault, Nicolas
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2022
• Subjects: Science::Mathematics; Wasserstein Distance; Stochastic Integrals
• Online Access: https://hdl.handle.net/10356/160989
• Institution: Nanyang Technological University

We prove Wasserstein distance bounds between the probability distributions of stochastic integrals with jumps, based on the integrands appearing in their stochastic integral representations. Our approach does not rely on the Stein equation or on the propagation of convexity property for Markovian se...