English

Asymptotic equivalence for inhomogeneous jump diffusion processes and white noise

Probability 2015-03-24 v2 Statistics Theory Statistics Theory

Abstract

We prove the global asymptotic equivalence between the experiments generated by the discrete (high frequency) or continuous observation of a path of a time inhomogeneous jump-diffusion process and a Gaussian white noise experiment. Here, the considered parameter is the drift function, and we suppose that the observation time TT tends to \infty. The approximation is given in the sense of the Le Cam Δ\Delta-distance, under smoothness conditions on the unknown drift function. These asymptotic equivalences are established by constructing explicit Markov kernels that can be used to reproduce one experiment from the other.

Keywords

Cite

@article{arxiv.1405.0480,
  title  = {Asymptotic equivalence for inhomogeneous jump diffusion processes and white noise},
  author = {Ester Mariucci},
  journal= {arXiv preprint arXiv:1405.0480},
  year   = {2015}
}

Comments

20 pages; to appear on ESAIM: P\&S. In this version there are some improvements in the exposition following the reports suggestions