Diffusive limits of Lipschitz functionals of Poisson measures
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arXiv
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| Auteurs principaux: | , , , |
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| Format: | Preprint |
| Publié: |
2021
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| _version_ | 1866915903521685504 |
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| author | Besançon, Eustache Coutin, Laure Decreusefond, Laurent Moyal, Pascal |
| author_facet | Besançon, Eustache Coutin, Laure Decreusefond, Laurent Moyal, Pascal |
| contents | Continuous Time Markov Chains, Hawkes processes and many other interesting processes can be described as solution of stochastic differential equations driven by Poisson measures. Previous works, using the Stein's method, give the convergence rate of a sequence of renormalized Poisson measures towards the Brownian motion in several distances, constructed on the model of the Kantorovitch-Rubinstein (or Wasserstein-1) distance. We show that many operations (like time change, convolution) on continuous functions are Lipschitz continuous to extend these quantified convergences to diffuse limits of Markov processes and long-time behavior of Hawkes processes. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2107_05339 |
| institution | arXiv |
| publishDate | 2021 |
| record_format | arxiv |
| spellingShingle | Diffusive limits of Lipschitz functionals of Poisson measures Besançon, Eustache Coutin, Laure Decreusefond, Laurent Moyal, Pascal Probability Continuous Time Markov Chains, Hawkes processes and many other interesting processes can be described as solution of stochastic differential equations driven by Poisson measures. Previous works, using the Stein's method, give the convergence rate of a sequence of renormalized Poisson measures towards the Brownian motion in several distances, constructed on the model of the Kantorovitch-Rubinstein (or Wasserstein-1) distance. We show that many operations (like time change, convolution) on continuous functions are Lipschitz continuous to extend these quantified convergences to diffuse limits of Markov processes and long-time behavior of Hawkes processes. |
| title | Diffusive limits of Lipschitz functionals of Poisson measures |
| topic | Probability |
| url | https://arxiv.org/abs/2107.05339 |