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math.PR2015
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…
math.PR2015★ 2 cited
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…