Second derivative of the log-likelihood in the model given by a Levy driven stochastic differential equations
Probability
2014-10-13 v1
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.
Cite
@article{arxiv.1410.2880,
title = {Second derivative of the log-likelihood in the model given by a Levy driven stochastic differential equations},
author = {D. O. Ivanenko},
journal= {arXiv preprint arXiv:1410.2880},
year = {2014}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1301.5141