Semimartingale: Itô or not ?

Yacine Ait-Sahalia, Jean Jacod

Research output: Contribution to journalArticle

2 Scopus citations

Abstract

Itô semimartingales are the semimartingales whose characteristics are absolutely continuous with respect to Lebesgue measure. We study the importance of this assumption for statistical inference on a discretely sampled semimartingale in terms of the identifiability of its characteristics, their estimation, and propose tests of the Itô property against the non-Itô alternative when the observed semimartingale is continuous, or discontinuous with finite activity jumps, and under a number of technical assumptions.

Original languageEnglish (US)
Pages (from-to)233-254
Number of pages22
JournalStochastic Processes and their Applications
Volume128
Issue number1
DOIs
StatePublished - Jan 1 2018

All Science Journal Classification (ASJC) codes

  • Statistics and Probability
  • Modeling and Simulation
  • Applied Mathematics

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