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2014•arXiv (Cornell University)Open access

Second derivative of the log-likelihood in the model given by a Levy driven stochastic differential equations

D. O. Ivanenko

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Abstract

By means of the Malliavin calculus, integral representation for the second derivative of the loglikelihood function are given for a model based on discrete time observations of the solution to SDE driven by a Levy process.

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By means of the Malliavin calculus, integral representation for the second derivative of the loglikelihood function are given for a model based on discrete time observations of the solution to SDE driven by a Levy process.

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Available abstract

By means of the Malliavin calculus, integral representation for the second derivative of the loglikelihood function are given for a model based on discrete time observations of the solution to SDE driven by a Levy process.

Key concepts: Malliavin calculus, Lévy process, Stochastic differential equation, Derivative (finance), Applied mathematics, Representation (politics), Mathematics, Function (biology)

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