591 citations · 1.9k across the 23 of their papers we have counts for
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math.NT2008★ 8 cited
Mod-Gaussian convergence: new limit theorems in probability and number theory
Jean Jacod, Emmanuel Kowalski, Ashkan Nikeghbali
We introduce a new type of convergence in probability theory, which we call ``mod-Gaussian convergence''. It is directly inspired by theorems and conjectures, in random matrix theo…
math.ST2008★ 12 cited
Estimation of the Brownian dimension of a continuous Itô process
Jean Jacod, Antoine Lejay, Denis Talay
In this paper, we consider a -dimensional continuous Itô process which is observed at regularly spaced times on a given time interval . This process is driven by a mu…