English

Total variation distance between a jump-equation and its Gaussian approximation

Probability 2022-12-15 v1 Numerical Analysis Numerical Analysis

Abstract

We deal with stochastic differential equations with jumps. In order to obtain an accurate approximation scheme, it is usual to replace the "small jumps" by a Brownian motion. In this paper, we prove that for every fixed time tt, the approximate random variable XtεX^\varepsilon_t converges to the original random variable XtX_t in total variation distance and we estimate the error. We also give an estimate of the distance between the densities of the laws of the two random variables. These are done by using some integration by parts techniques in Malliavin calculus.

Keywords

Cite

@article{arxiv.2212.07417,
  title  = {Total variation distance between a jump-equation and its Gaussian approximation},
  author = {Vlad Bally and Yifeng Qin},
  journal= {arXiv preprint arXiv:2212.07417},
  year   = {2022}
}

Comments

arXiv admin note: substantial text overlap with arXiv:2109.11208

R2 v1 2026-06-28T07:35:11.532Z