Second derivative of the loglikelihood in the model given by a Levy driven stochastic differential equations
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.
 Publication:

arXiv eprints
 Pub Date:
 October 2014
 arXiv:
 arXiv:1410.2880
 Bibcode:
 2014arXiv1410.2880I
 Keywords:

 Mathematics  Probability
 EPrint:
 arXiv admin note: substantial text overlap with arXiv:1301.5141