72 citations · 77 across the 2 of their papers we have counts for
2 papers
math.PR2004★ 5 cited
Fisher's Information for Discretely Sampled Levy Processes
Yacine Ait-Sahalia, Jean Jacod
This paper studies the asymptotic behavior of the Fisher information for a Levy process discretely sampled at an increasing frequency. We show that it is possible to distinguish no…
math.PR2004★ 72 cited
The Euler scheme for Levy driven stochastic differential equations: limit theorems
Jean Jacod
We study the Euler scheme for a stochastic differential equation driven by a Levy process Y. More precisely, we look at the asymptotic behavior of the normalized error process u_n(…