Semimartingale: Itô or not ?

DOI10.1016/j.spa.2017.04.006OpenAlexW2612586932MaRDI QIDQ1683817

Jean Jacod, Yacine Aït-Sahalia

Publication date: 1 December 2017

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2017.04.006

zbMATH Keywords

Cantor setabsolute continuitysemimartingalediscrete samplinghigh frequencyItô

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Markov processes: estimation; hidden Markov models (62M05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

Related Items (4)

Spot estimation for fractional Ornstein-Uhlenbeck stochastic volatility model: consistency and central limit theorem ⋮ Testing the volatility jumps based on the high frequency data ⋮ Testing for jumps based on high-frequency data: a method exploiting microstructure noise ⋮ Backward stochastic Volterra integral equations with jumps in a general filtration

Cites Work

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• Testing for jumps in a discretely observed process
• Testing the type of a semi-martingale: Itō against multifractal
• The Cantor function
• On stochastic differential equations

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