36 citations · 49 across the 10 of their papers we have counts for
12 papers
Efficient estimation of jump parameters for stochastic differential equations driven by L{é}vy processes
Elise Bayraktar, Emmanuelle Clément
In a high-frequency context, we investigate the efficient estimation of scaling and jump activity parameters for a stochastic differential equation driven by a L{é}vy process with…
Volatility and jump activity estimation in a stable Cox-Ingersoll-Ross model
Elise Bayraktar, Emmanuelle Clément
We consider the parametric estimation of the volatility and jump activity in a stable Cox-Ingersoll-Ross (-stable CIR) model driven by a standard Brownian Motion and a non-symme…
Estimation of a pure-jump stable Cox-Ingersoll-Ross process
Elise Bayraktar, Emmanuelle Clément
We consider a pure-jump stable Cox-Ingersoll-Ross (-stable CIR) process driven by a non-symmetric stable L{é}vy process with jump activity (1, 2) and we address the jo…
Hellinger and total variation distance in approximating L{é}vy driven SDEs
Emmanuelle Clément
In this paper, we get some convergence rates in total variation distance in approximating discretized paths of L{é}vy driven stochastic differential equations, assuming that the dr…
Ninomiya-Victoir scheme : strong convergence properties and discretization of the involved Ordinary Differential Equations
Anis Al Gerbi, Benjamin Jourdain, Emmanuelle Clément
In this paper, we summarize the results about the strong convergence rate of the Ninomiya-Victoir scheme and the stable convergence in law of its normalized error that we obtained…
Asymptotic error distribution for the Ninomiya-Victoir scheme in the commutative case
Anis Al Gerbi, Benjamin Jourdain, Emmanuelle Clément
In a previous work, we proved strong convergence with order of the Ninomiya-Victoir scheme with time step to the solution of the limiting SDE when the Browni…