L_1-distance for additive processes with time-homogeneous Lévy measures

preprint2014arXivOpen access

Abstract

We give an explicit bound for the L1L_1-distance between two additive processes of local characteristics (fj(⋅),σ2(⋅),νj)(f_j(\cdot),σ^2(\cdot),ν_j), j=1,2j = 1,2. The cases σ=0σ=0 and σ>0σ> 0 are both treated. We allow ν1ν_1 and ν2ν_2 to be equivalent time-homogeneous Lévy measures, possibly with infinite variation. Some examples of possible applications are discussed.

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