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- W3180962533 abstract "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." @default.
- W3180962533 created "2021-07-19" @default.
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- W3180962533 date "2021-07-12" @default.
- W3180962533 modified "2023-10-03" @default.
- W3180962533 title "Diffusive limits of Lipschitz functionals of Poisson measures" @default.
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