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$L_1$-distance for additive processes with time-homogeneous Lévy measures


 
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1. Title Title of document $L_1$-distance for additive processes with time-homogeneous Lévy measures
 
2. Creator Author's name, affiliation, country Pierre Etoré; Laboratoire Jean Kuntzmann; France
 
2. Creator Author's name, affiliation, country Ester Mariucci; Laboratoire Jean Kuntzmann; France
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) $L_1$-distance ; Total Variation ; Additive Processes
 
3. Subject Subject classification 60B10 ; 60E15 ; 60G51
 
4. Description 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.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s)
 
7. Date (YYYY-MM-DD) 2014-08-21
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/3678
 
10. Identifier Digital Object Identifier 10.1214/ECP.v19-3678
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 19
 
12. Language English=en en
 
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