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Non parametric estimation of the diffusion coefficients of a diffusion with jumps · Study

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ArticleNon parametric estimation of the diffusion coefficients of a diffusion with jumps

Émeline Schmisser2019

OA

Articlebronze2019

Non parametric estimation of the diffusion coefficients of a diffusion with jumps

Émeline Schmisser

15 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Control Systems and Identification Statistical Methods and Inference

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References

2009Estimating the degree of activity of jumps in high frequency data 1997The Euler scheme for Lévy driven stochastic differential equations 1982Semi-martingale inequalities via the Garsia-Rodemich-Rumsey lemma, and applications to local times 2006Estimation of Parameters for Diffusion Processes with Jumps from Discrete Observations 2009Nonparametric estimation for Lévy processes from low-frequency observations 2007Asymptotic properties of power variations of Lévy processes 2010Threshold estimation of Markov models with jumps and interest rate modeling 2009Nonparametric estimation for pure jump Lévy processes based on high frequency data

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Year2019

Typearticle

Published2019-03-11

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations15

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2019.03.003

openalex_workW2558698288

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