This book provides the reader with the principal concepts and results related to differential
properties of measures on infinite dimensional spaces. In the finite dimensional case such …

The asymptotic properties of nonparametric kernel estimators of diffusion process and
integrated diffusion process were studied by scholars through using the theories of local …

In this article, we utilize the contrast function of the integrated diffusion process to derive
parameter contrast estimators for the Cox-Ingersoll-Ross integrated diffusion process and …

Let (Vt) be a stationary and β-mixing diffusion with unknown drift and diffusion coefficient.
The integrated process Xt=∫ 0tVsds is observed at discrete times with regular sampling …

In this paper, we consider a multidimensional ergodic diffusion with jumps driven by a
Brownian motion and a Poisson random measure associated with a compound Poisson …

We study the problem of the efficient estimation of the jumps for stochastic processes. We
assume that the stochastic jump process (X_t)_t∈0,1 is observed discretely, with a sampling …

Let $(X_t) _ {t\ge 0} $ be solution of a one-dimensional stochastic differential equation. Our
aim is to study the convergence rate for the estimation of the invariant density in intermediate …

We introduce a new approach for estimating the invariant density of a multidimensional
diffusion when dealing with high-frequency observations blurred by independent noises. We …

We aim at estimating in a non-parametric way the density π of the stationary distribution of
ad-dimensional stochastic differential equation (X t) t∈[0, T], for d≥ 2, from the discrete …

In this paper, we consider a simple Lévy process given by a Brownian motion and a
compensated Poisson process, whose drift and diffusion parameters as well as its intensity …