591 citations · 1.9k across the 23 of their papers we have counts for
6 papers · 1 filter
Backward stochastic differential equation driven by a marked point process: An elementary approach with an application to optimal control
Fulvia Confortola, Marco Fuhrman, Jean Jacod
We address a class of backward stochastic differential equations on a bounded interval, where the driving noise is a marked, or multivariate, point process. Assuming that the jump…
Estimation of volatility functionals: the case of a square root n window
Jean Jacod, Mathieu Rosenbaum
We consider a multidimensional Ito semimartingale regularly sampled on [0,t] at high frequency 1/Δ_n, with Δ_n going to zero. The goal of this paper is to provide an estimator for…
Asymptotic properties of realized power variations and related functionals of semimartingales
Jean Jacod
This paper is concerned with the asymptotic behavior of sums of terms which are a test function f evaluated at successive increments of a discretely sampled semimartingale. Typical…
Asymptotic properties of power variations of Lévy processes
Jean Jacod
We determine the asymptotic behavior of the realized power variations, or more generally of sums of a given test function evaluated at the successive increments of a Lévy process.…
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…
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(…