$L_1$-distance for additive processes with time-homogeneous Lévy measures
Ester Mariucci (Laboratoire Jean Kuntzmann)
Abstract
We give an explicit bound for the $L_1$-distance between two additive processes of local characteristics $(f_j(\cdot),\sigma^2(\cdot),\nu_j)$, $j = 1,2$. The cases $\sigma =0$ and $\sigma(\cdot) > 0$ are both treated. We allow $\nu_1$ and $\nu_2$ to be time-homogeneous Lévy measures, possibly with infinite variation. Some examples of possible applications are discussed.
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Pages: 1-10
Publication Date: August 21, 2014
DOI: 10.1214/ECP.v19-3678
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