Local asymptotic mixed normality property for discretely observed stochastic differential equations driven by stable Lévy processes

DOI10.1016/j.spa.2015.01.002zbMath1312.60075OpenAlexW2022358953MaRDI QIDQ2342396

Arnaud Gloter, Emmanuelle Clément

Publication date: 28 April 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2015.01.002

zbMATH Keywords

Lévy processesMalliavin calculusstochastic differential equationsjump processesstable processeslocal asymptotic mixed normality property

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Stable stochastic processes (60G52)

Related Items

LAN property for an ergodic diffusion with jumps, Efficient estimation of stable Lévy process with symmetric jumps, LAMN property for jump diffusion processes with discrete observations on a fixed time interval, Parameter estimation for a discrete time model driven by fractional Poisson process, Local asymptotic normality for ergodic jump-diffusion processes via transition density approximation, Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process, Non-Gaussian quasi-likelihood estimation of SDE driven by locally stable Lévy process, Estimating functions for jump-diffusions, Drift estimation for a Lévy-driven Ornstein-Uhlenbeck process with heavy tails, Local asymptotic normality property for fractional Gaussian noise under high-frequency observations, LAMN property for the drift and volatility parameters of a sde driven by a stable Lévy process, Estimating functions for SDE driven by stable Lévy processes

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