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20062025
most citedA duality approach for the weak approximation of stochastic differential equations

36 citations · 49 across the 10 of their papers we have counts for

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math.ST2024

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…

math.ST2014★ 11 cited

Asymptotic lower bounds in estimating jumps

Emmanuelle Clément, Sylvain Delattre, Arnaud Gloter

We study the problem of the efficient estimation of the jumps for stochastic processes. We assume that the stochastic jump process is observed discretely, with…