Add to ORKGDiffusion coefficients of jump-diffusion processes with finite Levy measure are estimated from discrete observations at points t^n_i = i/n (i = 0, 1, . . . , n) using filtered conditional moments of increments. The estimation is based on the local time for jump-diffusions and the consistency result is obtained. This is an extension of the result for pure diffusion cases by Florens-Zmirou (1993)
We present a weak convergence of a discrete time process to a jump-diffusion process as the length o...
The maximum likelihood estimation of the unknown parameter of a diffusion process based on an approx...
We aim at estimating the invariant density associated to a stochastic differential equation with jum...
We study a nonparametric estimation of Lévy measures for multidimensional jump-diffusion models fro...
A one dimensional diffusion process $X=\{X_t, 0\leq t \leq T\}$ is observed only when its path lies ...
Rivista di classe A per l'Area 13 (2012) ABSTRACT. We consider a stochastic process driven by diffu...
The parametric estimation of both drift and diffusion coefficient parameters for $ d $-dimensional d...
AbstractFor a one-dimensional diffusion process X={X(t);0≤t≤T}, we suppose that X(t) is hidden if it...
In this paper, we consider a one-dimensional diffusion process with jumps driven by a Hawkes process...
We consider a real-valued diffusion process with a linear jump term driven by a Poisson point proces...
ABSTRACT: We consider a jump-diffusion Levy model, which is often used in financial and risk theory ...
In this paper we consider two processes driven by diffusions and jumps. We consider both finite act...
In a previous work we proposed a kernel method for estimating the value of a state‐dependent diffusi...
Data available on continuous-time diffusions are always sampled discretely in time. In most cases, t...
Data available on continuos-time diffusions are always sampled discretely in time. In most cases, th...
We present a weak convergence of a discrete time process to a jump-diffusion process as the length o...
The maximum likelihood estimation of the unknown parameter of a diffusion process based on an approx...
We aim at estimating the invariant density associated to a stochastic differential equation with jum...
We study a nonparametric estimation of Lévy measures for multidimensional jump-diffusion models fro...
A one dimensional diffusion process $X=\{X_t, 0\leq t \leq T\}$ is observed only when its path lies ...
Rivista di classe A per l'Area 13 (2012) ABSTRACT. We consider a stochastic process driven by diffu...
The parametric estimation of both drift and diffusion coefficient parameters for $ d $-dimensional d...
AbstractFor a one-dimensional diffusion process X={X(t);0≤t≤T}, we suppose that X(t) is hidden if it...
In this paper, we consider a one-dimensional diffusion process with jumps driven by a Hawkes process...
We consider a real-valued diffusion process with a linear jump term driven by a Poisson point proces...
ABSTRACT: We consider a jump-diffusion Levy model, which is often used in financial and risk theory ...
In this paper we consider two processes driven by diffusions and jumps. We consider both finite act...
In a previous work we proposed a kernel method for estimating the value of a state‐dependent diffusi...
Data available on continuous-time diffusions are always sampled discretely in time. In most cases, t...
Data available on continuos-time diffusions are always sampled discretely in time. In most cases, th...
We present a weak convergence of a discrete time process to a jump-diffusion process as the length o...
The maximum likelihood estimation of the unknown parameter of a diffusion process based on an approx...
We aim at estimating the invariant density associated to a stochastic differential equation with jum...