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2022 A note on recovering the Brownian motion component from a Lévy process
Konstantin Borovkov
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Electron. Commun. Probab. 27: 1-6 (2022). DOI: 10.1214/22-ECP477

Abstract

González Cázares and Ivanovs (2021) suggested a new method for “recovering” the Brownian motion component from the trajectory of a Lévy process that required sampling from an independent Brownian motion process. We show that such a procedure works equally well without any additional source of randomness if one uses normal quantiles instead of the ordered increments of the auxiliary Brownian motion process.

Acknowledgments

The author is grateful to the anonymous referee for spotting a few typos and providing useful comments that helped to improve the exposition of this paper.

Citation

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Konstantin Borovkov. "A note on recovering the Brownian motion component from a Lévy process." Electron. Commun. Probab. 27 1 - 6, 2022. https://doi.org/10.1214/22-ECP477

Information

Received: 15 March 2022; Accepted: 10 July 2022; Published: 2022
First available in Project Euclid: 19 July 2022

Digital Object Identifier: 10.1214/22-ECP477

Subjects:
Primary: 60F99 , 60G51 , 60J65

Keywords: Brownian motion , high frequency sampling , Lévy process , quantile function

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