1 citations · 1 across the 3 of their papers we have counts for
3 papers
math.PR2025
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…
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.PR2016★ 1 cited
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…