Wasserstein distances between discretely observed Lévy processes

18.07.2017, 11.00  –  Haus 9, Raum 0.14
Forschungsseminar Wahrscheinlichkeitstheorie

Ester Mariucci ( HU Berlin)

We present some upper bounds for the Wasserstein distance of order p between the product measures associated with the increments of two independent Lévy processes with possibly infinite Lévy measures. As an application, we derive an upper bound for the total variation distance between the marginals of two independent Lévy processes with possibly infinite Lévy measures and non-zero Gaussian components. Also, a lower bound for the Wasserstein distance of order p between the marginals of two independent Lévy processes is discussed. This is a joint work in progress with Markus Reiß.