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

Abstract

By means of the Malliavin calculus, integral representation for the second derivative of the loglikelihood function are given for a model based on discrete time observations of the solution to SDE driven by a Levy process.

arXiv admin note: substantial text overlap with arXiv:1301.5141

References in corpus (2)

• Markovian bridges: Weak continuity and pathwise constructions
• Malliavin calculus approach to statistical inference for Levy driven SDE's