Jean JACOD - Abstract

TESTING THE MULTIPLICITY OF A DIFFUSION

Jean JACOD

Université 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 $r$.