A PRACTICAL APPROACH TO THE INFERENCE FOR JUMP-DIFFUSIONS FROM FINITE SAMPLES


Yasutaka SHIMIZU

Osaka University
Japan


ABSTRACT

When we consider the inference for diffusion processes with jumps, it is sometimes useful to get out the information of jumps and the information of continuous transition separately. Such a procedure is easy if the complete path can be obtained, since we can observe the exact jump size and its exact time in this case. However it is impossible to carry out the same procedure when data are discretely observed. In this talk, we propose a practical method to judge a jump occurred or did not from finite discrete observations, and apply it to the inference for diffusion processes with jumps.



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