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YRM W4 - David Bang on approximations of multidimensional L茅vy processes
Title: Small-time stable approximations of multidimensional L茅vy processes
Abstract: We establish upper and lower bounds on the rate of convergence in the Wasserstein distance for wide classes of L茅vy processes attracted to a multidimensional stable law in the small-time regime. 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. We will focus on the upper bounds, which are based on two couplings between arbitrary pure-jump L茅vy processes.