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arXiv · 1506.00776

LAN property for an ergodic diffusion with jumps

Arturo Kohatsu-Higa·Eulalia Nualart·Ngoc Khue Tran
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Abstract

In this paper, we consider a multidimensional ergodic diffusion with jumps driven by a Brownian motion and a Poisson random measure associated with a pure-jump L\'evy process with finite L\'evy measure, whose drift coefficient depends on an unknown parameter. Considering the process discretely observed at high frequency, we derive the local asymptotic normality (LAN) property.

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Arturo Kohatsu-Higa, Eulalia Nualart, Ngoc Khue Tran. 2015-06-02. LAN property for an ergodic diffusion with jumps. https://arxiv.org/abs/1506.00776

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