کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7550082 | 1489922 | 2018 | 26 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Transportation distances and noise sensitivity of multiplicative Lévy SDE with applications
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Transportation distances and noise sensitivity of multiplicative Lévy SDE with applications Transportation distances and noise sensitivity of multiplicative Lévy SDE with applications](/preview/png/7550082.png)
چکیده انگلیسی
This article assesses the distance between the laws of stochastic differential equations with multiplicative Lévy noise on path space in terms of their characteristics. The notion of transportation distance on the set of Lévy kernels introduced by Kosenkova and Kulik yields a natural and statistically tractable upper bound on the noise sensitivity. This extends recent results for the additive case in terms of coupling distances to the multiplicative case. The strength of this notion is shown in a statistical implementation for simulations and the example of a benchmark time series in paleoclimate.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 128, Issue 7, July 2018, Pages 2153-2178
Journal: Stochastic Processes and their Applications - Volume 128, Issue 7, July 2018, Pages 2153-2178
نویسندگان
Jan Gairing, Michael Högele, Tetiana Kosenkova,