Second derivative of the log-likelihood in the model given by a Levy driven stochastic differential equations

D. O. Ivanenko

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arXiv · 1410.2880

Second derivative of the log-likelihood in the model given by a Levy driven stochastic differential equations

D. O. Ivanenko

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Abstract

By means of the Malliavin calculus, integral representation for the second derivative of the loglikelihood function are given for a model based on discrete time observations of the solution to SDE driven by a Levy process.

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D. O. Ivanenko. 2014-10-10. Second derivative of the log-likelihood in the model given by a Levy driven stochastic differential equations. https://arxiv.org/abs/1410.2880

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