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ASYMPTOTIC EQUIVALENCE FOR INHOMOGENEOUS JUMP DIFFUSION PROCESSES AND WHITE NOISE.
"... Abstract. We prove the global asymptotic equivalence between the experiments generated by the discrete (high frequency) or continuous observation of a path of a time inhomogeneous jumpdiffusion process and a Gaussian white noise experiment. Here, the considered parameter is the drift function, and ..."
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Abstract. We prove the global asymptotic equivalence between the experiments generated by the discrete (high frequency) or continuous observation of a path of a time inhomogeneous jumpdiffusion process and a Gaussian white noise experiment. Here, the considered parameter is the drift function, and we suppose that the observation time T tends to ∞. The approximation is given in the sense of the Le Cam ∆distance, under smoothness conditions on the unknown drift function. These asymptotic equivalences are established by constructing explicit Markov kernels that can be used to reproduce one experiment from the other. 1.
L1DISTANCE FOR ADDITIVE PROCESSES WITH TIMEHOMOGENEOUS LÉVY MEASURES
"... Abstract. We give an explicit bound for the L1distance between two additive processes of local characteristics (fj(·), σ 2(·), νj), j = 1, 2. The cases σ = 0 and σ(·)> 0 are both treated. We allow ν1 and ν2 to be timehomogeneous Lévy measures, possibly with infinite variation. Some examples of ..."
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Abstract. We give an explicit bound for the L1distance between two additive processes of local characteristics (fj(·), σ 2(·), νj), j = 1, 2. The cases σ = 0 and σ(·)> 0 are both treated. We allow ν1 and ν2 to be timehomogeneous Lévy measures, possibly with infinite variation. Some examples of possible applications are discussed. 1. Introduction and
ISSN: 1083589X ELECTRONIC COMMUNICATIONS
"... Large deviations for the local times of a random walk among random conductances ..."
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Large deviations for the local times of a random walk among random conductances