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

2014/10/10 by D. O. Ivanenko, Ivanenko, D. O.
Mathematics · #FOS: Mathematics #Probability (math.PR) #math.PR

paper · pdf · doi:10.48550/arxiv.1410.2880

arXiv admin note: substantial text overlap with arXiv:1301.5141

arxiv created 2014/10/10 · arxiv updated 2014/10/13

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.

Citations

• Malliavin calculus approach to statistical inference for Levy driven SDE's

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