Wasserstein distance estimates for jump-diffusion processes
We derive Wasserstein distance bounds between the probability distributions of a stochastic integral (Itô) process with jumps (Xt)t∈[0,T] and a jump-diffusion process (Xt∗)t∈[0,T]. Our bounds are expressed using the stochastic characteristics of (Xt)t∈[0,T] and the jump-diffusion coefficients of (Xt...
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| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | English |
| Published: |
2024
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/180130 |
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| Institution: | Nanyang Technological University |
| Language: | English |