A note on recovering the Brownian motion component from a Levy process
Probability
2022-03-07 v1
Abstract
Gonzalez Cazares and Ivanovs (2021) suggested a new method for "recovering" the Brownian motion component from the trajectory of a Levy process that required sampling from an independent Brownian motion process. We show that such a procedure works equally well without any additional source of randomness if one uses normal quantiles instead of the ordered increments of the auxiliary Brownian motion process.
Keywords
Cite
@article{arxiv.2203.02237,
title = {A note on recovering the Brownian motion component from a Levy process},
author = {Konstantin Borovkov},
journal= {arXiv preprint arXiv:2203.02237},
year = {2022}
}
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7 pages, 0 figures