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

• المؤلفون الرئيسيون: Breton, Jean-Christophe, Privault, Nicolas
• مؤلفون آخرون: School of Physical and Mathematical Sciences
• التنسيق: مقال
• اللغة: English
• منشور في: 2022
• الموضوعات: Science::Mathematics; Wasserstein Distance; Stochastic Integrals
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/160989
• المؤسسة: 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...