Victoria Knopova

Optimal Time-Dependent Jump Truncation for Time-Singular L\'evy Processes

We study optimal jump truncation for the additive time-singular pure-jump model of the form $X_T=\int_0^T t^{-\sigma} dZ_t$, where $Z$ is a L\'evy process and $\sigma\ge 0$. For a fixed expected jump cost, we minimize the residual small-jump variance over measurable time-dependent cutoffs. Under regularity and tail ass...