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PS : Céline Duval (Univ. Paris Descartes) Total variation distance for discretely observed Lévy processes: a Gaussian approximation of the small jumps
PS : Céline Duval (Univ. Paris Descartes) Total variation distance for discretely observed Lévy processes: a Gaussian approximation of the small jumps
It is common to treat small jumps of Lévy processes as Wiener noise and to approximate its marginals by a Gaussian distribution. However, results that allow to quantify the goodness of this approximation according to a given metric are rare.