Zobrazeno 1 - 10
of 64
pro vyhledávání: '"Clément, Emmanuelle"'
Autor:
Bayraktar, Elise, Clément, Emmanuelle
We consider the parametric estimation of the volatility and jump activity in a stable Cox-Ingersoll-Ross ($\alpha$-stable CIR) model driven by a standard Brownian Motion and a non-symmetric stable L\'evy process with jump activity $\alpha \in (1,2)$.
Externí odkaz:
http://arxiv.org/abs/2407.21411
Autor:
Bayraktar, Elise, Clément, Emmanuelle
We consider a pure-jump stable Cox-Ingersoll-Ross ($\alpha$-stable CIR) process driven by a non-symmetric stable L{\'e}vy process with jump activity $\alpha$ $\in$ (1, 2) and we address the joint estimation of drift, scaling and jump activity paramet
Externí odkaz:
http://arxiv.org/abs/2304.02386
Autor:
Clément, Emmanuelle
In this paper, we get some convergence rates in total variation distance in approximating discretized paths of L{\'e}vy driven stochastic differential equations, assuming that the driving process is locally stable. The particular case of the Euler ap
Externí odkaz:
http://arxiv.org/abs/2103.09648
Autor:
Clément, Emmanuelle
L’établissement distinct est devenu un concept incontournable dans la vie des entreprises et une notion récurrente dans les textes légaux et la jurisprudence. Dans l’hypothèse la plus simple, l’entreprise n’est dotée que d’une seule un
Externí odkaz:
http://www.theses.fr/2016LIL20026
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 in previous papers. We then recall the properties of the multilevel Mo
Externí odkaz:
http://arxiv.org/abs/1612.07017
In a previous work, we proved strong convergence with order $1$ of the Ninomiya-Victoir scheme $X^{NV}$ with time step $T/N$ to the solution $X$ of the limiting SDE when the Brownian vector fields commute. In this paper, we prove that the normalized
Externí odkaz:
http://arxiv.org/abs/1605.08270
In a previous work, we proved strong convergence with order $1/2$ of the Ninomiya-Victoir scheme $X^{NV,\eta}$ with time step $T/N$ to the solution $X$ of the limiting SDE. In this paper we check that the normalized error defined by $\sqrt{N}\left(X
Externí odkaz:
http://arxiv.org/abs/1601.05268
In this paper, we are interested in the strong convergence properties of the Ninomiya-Victoir scheme which is known to exhibit weak convergence with order 2. We prove strong convergence with order $1/2$. This study is aimed at analysing the use of th
Externí odkaz:
http://arxiv.org/abs/1508.06492
Publikováno v:
Bernoulli 2014, Vol. 20, No. 3, 1059-1096
We study the problem of the efficient estimation of the jumps for stochastic processes. We assume that the stochastic jump process $(X_t)_{t\in[0,1]}$ is observed discretely, with a sampling step of size $1/n$. In the spirit of Hajek's convolution th
Externí odkaz:
http://arxiv.org/abs/1407.0241
Autor:
Bally, Vlad, Clement, Emmanuelle
Publikováno v:
Stochastic Analysis 2010 (2010) 7-29
We establish an integration by parts formula based on jumps times in an abstract framework in order to study the regularity of the law for processes solution of stochastic differential equations with jumps.
Externí odkaz:
http://arxiv.org/abs/1004.3131