Hellinger and total variation distance in approximating Lévy driven SDEs
Author:
Affiliation:
1. LAMA UMR8050, Université Gustave Eiffel, Univ Paris Est Creteil, CNRS
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference18 articles.
1. Jacod, J. and Protter, P. (2012). Discretization of Processes. Stochastic Modelling and Applied Probability 67. Springer, Heidelberg.
2. APPLEBAUM, D. (2009). Lévy Processes and Stochastic Calculus, 2nd ed. Cambridge Studies in Advanced Mathematics 116. Cambridge Univ. Press, Cambridge.
3. JACOD, J. (2004). The Euler scheme for Lévy driven stochastic differential equations: Limit theorems. Ann. Probab. 32 1830–1872.
4. STRASSER, H. (1985). Mathematical Theory of Statistics. De Gruyter Studies in Mathematics 7. de Gruyter, Berlin. Statistical experiments and asymptotic decision theory.
5. BICHTELER, K., GRAVEREAUX, J.-B. and JACOD, J. (1987). Malliavin Calculus for Processes with Jumps. Stochastics Monographs 2. Gordon and Breach Science Publishers, New York.
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