Abstract: We establish upper and lower bounds on the rate of convergence of the Wasserstein distance on the path space for a wide class of Lévy processes attracted to a multidimensional stable law in the small-time regime. In this talk, the main focus will be on the development of two novel couplings between arbitrary pure-jump Lévy processes, used to obtain upper bounds on the Wasserstein distance. We show that the rate of convergence is polynomial for the domain of normal attraction and slower than any polynomial for the domain of non-normal attraction. As an example, we will consider the class of tempered stable processes that are in the small time domain of attraction of a stable process.

Unless otherwise specified, in Term 2 and Term 3, the Stochastic Finance seminar takes place on Wednesdays, starting at 11:00 am. In Term 2, the seminar takes place in Room B2.02 (Chemistry and Science Concourse)Link opens in a new window.

While the seminars will run in person, there is also the possibility to join via MS Teams. If you wish to be added to the respective Team, please contact the seminar organiser Miryana GrigorovaLink opens in a new window.

All are welcome.