A note on recovering the Brownian motion component from a Lévy process

IF 0.5 4区数学 Q4 STATISTICS & PROBABILITY

Electronic Communications in Probability Pub Date : 2022-01-01 DOI:10.1214/22-ecp477

K. Borovkov

引用次数: 0

Abstract

González Cázares and Ivanovs (2021) suggested a new method for “recovering” the Brownian motion component from the trajectory of a Lévy 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.

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关于从Lévy过程中恢复布朗运动分量的一个注记

González Cázares和Ivanovs(2021)提出了一种新方法，用于从需要从独立布朗运动过程中采样的l过程轨迹中“恢复”布朗运动分量。我们表明，如果使用正常分位数而不是辅助布朗运动过程的有序增量，这样的过程在没有任何额外随机性来源的情况下同样有效。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Electronic Communications in Probability 工程技术-统计学与概率论

CiteScore

1.00

自引率

0.00%

发文量

审稿时长

6-12 weeks

期刊介绍： The Electronic Communications in Probability (ECP) publishes short research articles in probability theory. Its sister journal, the Electronic Journal of Probability (EJP), publishes full-length articles in probability theory. Short papers, those less than 12 pages, should be submitted to ECP first. EJP and ECP share the same editorial board, but with different Editors in Chief.