Malliavin calculus approach to statistical inference for Levy driven SDE's

Abstract

By means of the Malliavin calculus, integral representations for the likelihood function and for the derivative of the log-likelihood function are given for a model based on discrete time observations of the solution to equation dX_t=a_θ(X_t)dt + dZ_t with a tempered α-stable process Z. Using these representations, regularity of the statistical experiment and the Cramer-Rao inequality are proved.

References in corpus (1)

• Markovian bridges: Weak continuity and pathwise constructions

Cited by in corpus (1)

• Second derivative of the log-likelihood in the model given by a Levy driven stochastic differential equations