TESTING THE MULTIPLICITY OF A DIFFUSION

Jean JACOD
Univerité Pierre et Marie Curie
Paris, France


ABSTRACT

We observe a diffusion or a "generalized" diffusion $X$ at discrete times $i/n$ for $i=1,\ldots,n$. The diffusion is $d$-dimensional, and we are looking for the smallest integer $r$ such that one may take a driving Wiener process with dimension $r$. We propose some tests on the value of $r$.



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