论文标题
关于从征税过程中恢复布朗运动组件的注释
A note on recovering the Brownian motion component from a Levy process
论文作者
论文摘要
Gonzalez Cazares和Ivanovs（2021）提出了一种从征税过程的轨迹中“恢复” Brownian运动成分的新方法，该方法需要从独立的Brownian运动过程中进行采样。我们表明，如果一个人使用正常分位数而不是辅助布朗运动过程的有序增量，则这种过程同样效果很好，而没有任何其他随机性来源。
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.
