ABSTRACT: We consider a jump-diffusion Levy model, which is often used in financial and risk theory applications. Using discrete observations of the process, we consider a threshold estimator of the diffusion coefficient, and we show that it satisfies a large deviation principle. That gives us both the strong consistency of the estimator and an accurate measure of the estimation error. Rivista di classe 4 per il GEV Area 1 del VQR 2004-2010

Large deviation principle for an estimator of the diffusion coefficient in a jump diffusion process

C. MANCINI
2008-01-01

Abstract

ABSTRACT: We consider a jump-diffusion Levy model, which is often used in financial and risk theory applications. Using discrete observations of the process, we consider a threshold estimator of the diffusion coefficient, and we show that it satisfies a large deviation principle. That gives us both the strong consistency of the estimator and an accurate measure of the estimation error. Rivista di classe 4 per il GEV Area 1 del VQR 2004-2010
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/1001162
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