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

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...

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Bibliographic Details
Main Authors: Breton, Jean-Christophe, Privault, Nicolas
Other Authors: School of Physical and Mathematical Sciences
Format: Article
Language:English
Published: 2022
Subjects:
Online Access:https://hdl.handle.net/10356/160989
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Institution: Nanyang Technological University
Language: English

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