Titel
Limits of random walks with distributionally robust transition probabilities
Autor*in
Daniel Bartl
Autor*in
Stephan Eckstein
University of Hamburg
Autor*in
Michael Kupper
University of Konstanz
Abstract
We consider a nonlinear random walk which, in each time step, is free to choose its own transition probability within a neighborhood (w.r.t. Wasserstein distance) of the transition probability of a fixed Lévy process. In analogy to the classical framework we show that, when passing from discrete to continuous time via a scaling limit, this nonlinear random walk gives rise to a nonlinear semigroup. We explicitly compute the generator of this semigroup and corresponding PDE as a perturbation of the generator of the initial Lévy process.
Stichwort
nonlinear Lévy processesScaling limitWasserstein distance
Objekt-Typ
Sprache
Englisch [eng]
Persistent identifier
https://phaidra.univie.ac.at/o:1604322
Erschienen in
Titel
Electronic Communications in Probability
Band
26
ISSN
1083-589X
Erscheinungsdatum
2021
Verlag
Institute of Mathematical Statistics
Projektnummer
MA16-021 – Vienna Science and Technology Fund (WWTF)
Projektnummer
P28661 – Austrian Science Fund (FWF)
Erscheinungsdatum
2021
Zugänglichkeit

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