2 citations · 6 across the 7 of their papers we have counts for
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Density estimates for jump diffusion processes
Arturo Kohatsu-Higa, Eulalia Nualart, Ngoc Khue Tran
We consider a real-valued diffusion process with a linear jump term driven by a Poisson point process and we assume that the jump amplitudes have a centered density with finite mom…
Local asymptotic properties for the growth rate of a jump-type CIR process
Mohamed Ben Alaya, Ahmed Kebaier, Gyula Pap +1
In this paper, we consider a one-dimensional jump-type Cox-Ingersoll-Ross process driven by a Brownian motion and a subordinator, whose growth rate is an unknown parameter. Conside…
LAN property for an ergodic Ornstein-Uhlenbeck process with Poisson jumps
Ngoc Khue Tran
In this paper, we consider an ergodic Ornstein-Uhlenbeck process with jumps driven by a Brownian motion and a compensated Poisson process, whose drift and diffusion coefficients as…
LAN property for an ergodic diffusion with jumps
Arturo Kohatsu-Higa, Eulalia Nualart, Ngoc Khue Tran
In this paper, we consider a multidimensional ergodic diffusion with jumps driven by a Brownian motion and a Poisson random measure associated with a pure-jump Lévy process with fi…
LAN property for a linear model with jumps
Arturo Kohatsu-Higa, Eulalia Nualart, Ngoc Khue Tran
In this paper, we consider a linear model with jumps driven by a Brownian motion and a compensated Poisson process, whose drift and diffusion coefficients as well as its intensity…
On the LAMN property for continuous observations of some diffusion processes with jumps
Ngoc Khue Tran, Eulalia Nualart
In this paper, we consider a diffusion process with jumps whose drift and jump coefficient depend on an unknown parameter. We then give a self-contained proof of the local asymptot…