A note on recovering the Brownian motion component from a Levy process

2022/03/04 by Konstantin Borovkov, Borovkov, Konstantin
Economics, Econometrics and Finance · Mathematics · #60F99 #60G51 #60J65 #Complex Systems and Time Series Analysis #FOS: Mathematics #Probability (math.PR) #Statistical Methods and Bayesian Inference #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.2203.02237

openalex publication_date 2022/03/04 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

Gonzalez Cazares and Ivanovs (2021) suggested a new method for "recovering" the Brownian motion component from the trajectory of a Levy 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.

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