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Author ID: jacod.jean Recent zbMATH articles by "Jacod, Jean"
Published as: Jacod, Jean; Jacod, J.
Homepage: https://www.lpsm.paris//pageperso/jacod/
External Links: MGP · Wikidata · dblp · GND · IdRef · theses.fr
all top 5

Serials

13 The Annals of Statistics
10 Stochastic Processes and their Applications
9 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
6 Annales de l’Institut Henri Poincaré. Nouvelle Série. Section B. Calcul des Probabilités et Statistique
6 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
5 The Annals of Probability
5 Comptes Rendus Hebdomadaires des Séances de l’Académie des Sciences, Série A
4 Stochastics
4 Probability Theory and Related Fields
4 The Annals of Applied Probability
4 Finance and Stochastics
3 Journal of Applied Probability
3 Journal of Econometrics
3 Bernoulli
3 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Scandinavian Journal of Statistics
2 Econometrica
2 Bulletin de la Société Mathématique de France. Supplément. Mémoires
2 Grundlehren der Mathematischen Wissenschaften
2 Lecture Notes in Mathematics
2 Universitext
1 Advances in Applied Probability
1 Lithuanian Mathematical Journal
1 Annales Scientifiques de l’Université de Clermont-Ferrand II. Mathématiques
1 Inventiones Mathematicae
1 Journal of Theoretical Probability
1 Forum Mathematicum
1 Litovskiĭ Matematicheskiĭ Sbornik
1 Comptes Rendus de l’Académie des Sciences. Série I
1 Statistical Inference for Stochastic Processes
1 Econometric Theory
1 Decisions in Economics and Finance
1 Oberwolfach Reports
1 Stochastics Monographs
1 Enseignement des Mathématiques (Cassini)
1 Stochastic Modelling and Applied Probability
1 European Series in Applied and Industrial Mathematics (ESAIM): Proceedings and Surveys

Publications by Year

Citations contained in zbMATH Open

141 Publications have been cited 6,558 times in 4,152 Documents Cited by Year
Limit theorems for stochastic processes. 2nd ed. Zbl 1018.60002
Jacod, Jean; Shiryaev, Albert N.
2003
Limit theorems for stochastic processes. Zbl 0635.60021
Jacod, Jean; Shiryaev, Albert N.
656
1987
Calcul stochastique et problèmes de martingales. Zbl 0414.60053
Jacod, J.
531
1979
Multivariate point processes: Predictable projection, Radon-Nikodym derivatives representation of martingales. Zbl 0302.60032
Jacod, Jean
234
1975
Microstructure noise in the continuous case: the pre-averaging approach. Zbl 1166.62078
Jacod, Jean; Li, Yingying; Mykland, Per A.; Podolskij, Mark; Vetter, Mathias
210
2009
Discretization of processes. Zbl 1259.60004
Jacod, Jean; Protter, Philip
190
2012
Limit theorems for stochastic processes. Vol. 1-2. (Predel’nye teoremy dlya sluchajnykh protsessov. Tom 1-2.) Zbl 0830.60025
Jacod, J.; Shiryaev, A. N.
182
1994
Testing for jumps in a discretely observed process. Zbl 1155.62057
Aït-Sahalia, Yacine; Jacod, Jean
158
2009
Asymptotic error distributions for the Euler method for stochastic differential equations. Zbl 0937.60060
Jacod, Jean; Protter, Philip
154
1998
Asymptotic properties of realized power variations and related functionals of semimartingales. Zbl 1142.60022
Jacod, Jean
136
2008
Malliavin calculus for processes with jumps. Zbl 0706.60057
Bichteler, Klaus; Gravereaux, Jean-Bernard; Jacod, Jean
123
1987
High-frequency financial econometrics. Zbl 1298.91018
Aït-Sahalia, Yacine; Jacod, Jean
118
2014
On the estimation of the diffusion coefficient for multi-dimensional diffusion processes. Zbl 0770.62070
Genon-Catalot, Valentine; Jacod, Jean
114
1993
Estimating the degree of activity of jumps in high frequency data. Zbl 1173.62060
Aït-Sahalia, Yacine; Jacod, Jean
112
2009
A central limit theorem for realised power and bipower variation of continuous semimartingales. Zbl 1106.60037
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Podolskij, Mark; Shephard, Neil
96
2006
Diffusions with measurement errors. I: Local asymptotic normality. Zbl 1008.60089
Gloter, Arnaud; Jacod, Jean
65
2001
Semimartingales and Markov processes. Zbl 0443.60074
Cinlar, E.; Jacod, J.; Protter, P.; Sharpe, M. J.
65
1980
Probability essentials. 2nd revised ed. Zbl 1014.60004
Jacod, Jean; Protter, Philip
63
2003
On continuous conditional Gaussian martingales and stable convergence in law. Zbl 0884.60038
Jacod, Jean
62
1997
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036
Jacod, J.; Shiryaev, A. N.
61
1998
Grossissement initial, hypothèse (H’) et théorème de Girsanov. Zbl 0568.60049
Jacod, Jean
51
1985
The approximate Euler method for Lévy driven stochastic differential equations. Zbl 1071.60046
Jacod, Jean; Kurtz, Thomas G.; Méléard, Sylvie; Protter, Philip
51
2005
Quarticity and other functionals of volatility: efficient estimation. Zbl 1292.60033
Jacod, Jean; Rosenbaum, Mathieu
51
2013
Systemes de Levy des processus de Markov. Zbl 0265.60074
Benveniste, Albert; Jacod, Jean
50
1973
Diffusions with measurement errors. II: Optimal estimators. Zbl 1009.60065
Gloter, Arnaud; Jacod, Jean
49
2001
The Euler scheme for Lévy driven stochastic differential equations: limit theorems. Zbl 1054.65008
Jacod, Jean
49
2004
On the range of options prices. Zbl 0889.90020
Eberlein, Ernst; Jacod, Jean
49
1997
Volatility estimators for discretely sampled Lévy processes. Zbl 1114.62109
Aït-Sahalia, Yacine; Jacod, Jean
47
2007
Limit theorems for moving averages of discretized processes plus noise. Zbl 1196.60033
Jacod, Jean; Podolskij, Mark; Vetter, Mathias
46
2010
Caractéristiques locales et conditions de continuite absolue pour les semi-martingales. Zbl 0315.60026
Jacod, J.; Memin, J.
44
1976
Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil
43
2006
Is Brownian motion necessary to model high-frequency data? Zbl 1327.62118
Aït-Sahalia, Yacine; Jacod, Jean
42
2010
Non-parametric kernel estimation of the coefficient of diffusion. Zbl 0938.62085
Jacod, Jean
41
2000
The Monte-Carlo method for filtering with discrete-time observations. Zbl 0979.62072
Del Moral, Pierre; Jacod, Jean; Protter, Philip
39
2001
Sur un type de convergence intermediaire entre la convergence en loi et la convergence en probabilité. Zbl 0458.60016
Jacod, Jean; Memin, Jean
39
1981
Testing for jumps in noisy high frequency data. Zbl 1443.62325
Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia
39
2012
Processus ponctuels et martingales: Résultats recents sur la modelisation et le filtrage. Zbl 0369.60059
Bremaud, P.; Jacod, J.
38
1977
Asymptotic properties of power variations of Lévy processes. Zbl 1185.60031
Jacod, Jean
38
2007
Do price and volatility jump together? Zbl 1203.62139
Jacod, Jean; Todorov, Viktor
38
2010
Lévy term structure models: no-arbitrage and completeness. Zbl 1065.60086
Eberlein, Ernst; Jacod, Jean; Raible, Sebastian
37
2005
Statistics and high-frequency data. Zbl 1375.62025
Jacod, Jean
37
2012
Risk-neutral compatibility with option prices. Zbl 1224.91156
Jacod, Jean; Protter, Philip
36
2010
Time reversal on Lévy processes. Zbl 0646.60052
Jacod, Jean; Protter, Philip
35
1988
Testing for common arrivals of jumps for discretely observed multidimensional processes. Zbl 1168.62075
Jacod, Jean; Todorov, Viktor
34
2009
Étude des solutions extremales et représentation intégrale des solutions pour certains problèmes de martingales. Zbl 0346.60032
Jacod, Jean; Yor, Marc
33
1977
Efficient estimation of integrated volatility in presence of infinite variation jumps. Zbl 1305.62146
Jacod, Jean; Todorov, Viktor
32
2014
Fisher’s information for discretely sampled Lévy processes. Zbl 1144.62070
Aït-Sahalia, Yacine; Jacod, Jean
32
2008
Irregular sampling and central limit theorems for power variations: the continuous case. Zbl 1271.62198
Hayashi, Takaki; Jacod, Jean; Yoshida, Nakahiro
32
2011
A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors. Zbl 0882.60017
Delattre, Sylvain; Jacod, Jean
31
1997
Representation of semimartingale Markov processes in terms of Wiener processes and Poisson random measures. Zbl 0531.60068
Çinlar, E.; Jacod, J.
29
1981
Testing whether jumps have finite or infinite activity. Zbl 1234.62117
Aït-Sahalia, Yacine; Jacod, Jean
28
2011
Calcul de Malliavin pour les diffusions avec sauts: Existence d’une densité dans le cas unidimensionnel. Zbl 0525.60067
Bichteler, Klaus; Jacod, Jean
28
1983
A remark on the rates of convergence for integrated volatility estimation in the presence of jumps. Zbl 1305.62036
Jacod, Jean; Reiss, Markus
27
2014
Mod-Gaussian convergence: new limit theorems in probability and number theory. Zbl 1225.15035
Jacod, Jean; Kowalski, Emmanuel; Nikeghbali, Ashkan
26
2011
Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control. Zbl 1345.60048
Confortola, Fulvia; Fuhrman, Marco; Jacod, Jean
24
2016
Théorème de renouvellement et classification pour les chaînes semi- markoviennes. Zbl 0217.50502
Jacod, J.
23
1971
Parametric inference for discretely observed non-ergodic diffusions. Zbl 1100.62081
Jacod, Jean
22
2006
Rates of convergence to the local time of a diffusion. Zbl 0911.60055
Jacod, Jean
21
1998
Weak and strong solutions of stochastic differential equations. Zbl 0434.60061
Jacod, Jean
21
1980
On tightness and stopping times. Zbl 0501.60029
Jacod, J.; Memin, J.; Metivier, M.
20
1983
Probability essentials. Zbl 0968.60003
Jacod, Jean; Protter, Philip
20
2000
Statistical properties of microstructure noise. Zbl 1410.62204
Jacod, Jean; Li, Yingying; Zheng, Xinghua
20
2017
Local asymptotic normality and mixed normality for Markov statistical models. Zbl 0685.60016
Höpfner, Reinhard; Jacod, Jean; Ladelli, Lucia
19
1990
Weak and strong solutions of stochastic differential equations: Existence and stability. Zbl 0471.60066
Jacod, Jean; Memin, Jean
19
1981
Un théorème de représentation pour les martingales discontinues. Zbl 0307.60043
Jacod, Jean
19
1976
Estimation of the diffusion coefficient for diffusion processes: Random sampling. Zbl 0804.62078
Genon-Catalot, V.; Jacod, J.
19
1994
Explicit form and robustness of martingale representations. Zbl 1044.60042
Jacod, Jean; Méléard, Sylvie; Protter, Philip
19
2000
Jumping Markov processes. Zbl 0841.60066
Jacod, J.; Skorokhod, A. V.
17
1996
Théorèmes limite pour les processus. Zbl 0565.60030
Jacod, J.
17
1985
Existence of weak solutions for stochastic differential equations with driving semimartingales. Zbl 0454.60057
Jacod, Jean; Memin, Jean
16
1981
Jumping filtrations and martingales with finite variation. Zbl 0814.60039
Jacod, J.; Skorohod, A. V.
15
1994
Identifying the successive Blumenthal-Getoor indices of a discretely observed process. Zbl 1297.62051
Aït-Sahalia, Yacine; Jacod, Jean
15
2012
Interacting particle filtering with discrete observations. Zbl 1056.93574
Del Moral, Pierre; Jacod, Jean
14
2001
A general theorem of representation for martingales. Zbl 0362.60068
Jacod, Jean
14
1977
Une condition d’existence et d’unicité pour les solutions fortes d’équations différentielles stochastiques. Zbl 0436.60044
Jacod, Jean
14
1980
A test for the rank of the volatility process: the random perturbation approach. Zbl 1292.62126
Jacod, Jean; Podolskij, Mark
14
2013
Random measures and stochastic integration. Zbl 0514.60051
Bichteler, K.; Jacod, J.
13
1983
Intégrales stochastiques par rapport à une semimartingale vectorielle et changements de filtration. Zbl 0429.60054
Jacod, Jean
12
1980
Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation. Zbl 1391.60044
Jacod, Jean; Todorov, Viktor
11
2018
Convergence en loi de semimartingales et variation quadratique. Zbl 0458.60037
Jacod, Jean
11
1981
Estimating the integrated volatility with tick observations. Zbl 1452.62771
Jacod, Jean; Li, Yingying; Zheng, Xinghua
11
2019
A review of asymptotic theory of estimating functions. Zbl 1450.62101
Jacod, Jean; Sørensen, Michael
11
2018
Quelques remarques sur un nouveau type d’équations différentielles stochastiques. Zbl 0482.60056
Jacod, Jean; Protter, Philip
10
1982
Théorème de la limite centrale et convergence fonctionnelle vers un processus à accroissements independants: la méthode des martingales. Zbl 0493.60033
Jacod, J.; Klopotowski, A.; Memin, J.
10
1982
Convergence of filtered statistical models and Hellinger processes. Zbl 0684.60030
Jacod, Jean
9
1989
On asymptotic errors in discretization of processes. Zbl 1058.60020
Jacod, J.; Jakubowski, A.; Mémin, J.
8
2003
Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method. Zbl 1314.62095
Jacod, Jean; Mykland, Per A.
8
2015
Estimation of volatility functionals: the case of a \(\sqrt{n}\) window. Zbl 1401.60078
Jacod, Jean; Rosenbaum, Mathieu
8
2015
Systemes regeneratifs et processus semi-Markoviens. Zbl 0282.60059
Jacod, Jean
7
1974
Estimation of the Brownian dimension of a continuous Itô process. Zbl 1155.62059
Jacod, Jean; Lejay, Antoine; Talay, Denis
7
2008
Partial likelihood process and asymptotic normality. Zbl 0632.62088
Jacod, Jean
6
1987
Processus à accroissements independants: Une condition necessaire et suffisante de convergence en loi. Zbl 0526.60065
Jacod, Jean
6
1983
Semi-groupes et mesures invariantes pour les processus semi-markoviens à espace d’etat quelconque. Zbl 0254.60065
Jacod, Jean
6
1973
Projection des fonctionnelles additives et représentation des potentiels d’un processus de Markov. Zbl 0258.60054
Benveniste, Albert; Jacod, Jean
6
1973
A remark on stochastic differential equations with Markov solutions. (Une remarque sur les équations différentielles stochastiques à solutions markoviennes.) Zbl 0741.60051
Jacod, J.; Protter, P.
6
1991
Existence and uniqueness for stochastic differential equations. Zbl 0409.60066
Jacod, Jean
6
1979
Quadratic variation of the Brownian motion in the presence of round-off errors. (La variation quadratique du brownien en présence d’erreurs d’arrondi.) Zbl 0861.60085
Jacod, J.
6
1996
The Monte-Carlo method for filtering with discrete-time observations: central limit theorems. Zbl 1111.60302
Del Moral, Pierre; Jacod, Jean
6
2002
Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales. Zbl 1274.60063
Diop, Assane; Jacod, Jean; Todorov, Viktor
6
2013
Regularity, partial regularity, partial information process, for a filtered statistical model. Zbl 0677.62001
Jacod, Jean
5
1990
Volatility coupling. Zbl 1478.60106
Jacod, Jean; Li, Jia; Liao, Zhipeng
1
2021
Estimating the integrated volatility with tick observations. Zbl 1452.62771
Jacod, Jean; Li, Yingying; Zheng, Xinghua
11
2019
Estimation of volatility in a high-frequency setting: a short review. Zbl 1432.91111
Jacod, Jean
4
2019
Limit theorems for integrated local empirical characteristic exponents from noisy high-frequency data with application to volatility and jump activity estimation. Zbl 1391.60044
Jacod, Jean; Todorov, Viktor
11
2018
A review of asymptotic theory of estimating functions. Zbl 1450.62101
Jacod, Jean; Sørensen, Michael
11
2018
Semimartingale: Itô or not ? Zbl 06814949
Aït-Sahalia, Yacine; Jacod, Jean
4
2018
On the minimal number of driving Lévy motions in a multivariate price model. Zbl 1402.60068
Jacod, Jean; Podolskij, Mark
1
2018
Statistical properties of microstructure noise. Zbl 1410.62204
Jacod, Jean; Li, Yingying; Zheng, Xinghua
20
2017
Testing for non-correlation between price and volatility jumps. Zbl 1422.91781
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot
5
2017
Options prices in incomplete markets. Zbl 1407.91251
Jacod, Jean; Protter, Philip
2
2017
Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control. Zbl 1345.60048
Confortola, Fulvia; Fuhrman, Marco; Jacod, Jean
24
2016
Efficient estimation of integrated volatility in presence of infinite variation jumps with multiple activity indices. Zbl 1354.60019
Jacod, Jean; Todorov, Viktor
4
2016
Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method. Zbl 1314.62095
Jacod, Jean; Mykland, Per A.
8
2015
Estimation of volatility functionals: the case of a \(\sqrt{n}\) window. Zbl 1401.60078
Jacod, Jean; Rosenbaum, Mathieu
8
2015
High-frequency financial econometrics. Zbl 1298.91018
Aït-Sahalia, Yacine; Jacod, Jean
118
2014
Efficient estimation of integrated volatility in presence of infinite variation jumps. Zbl 1305.62146
Jacod, Jean; Todorov, Viktor
32
2014
A remark on the rates of convergence for integrated volatility estimation in the presence of jumps. Zbl 1305.62036
Jacod, Jean; Reiss, Markus
27
2014
Quarticity and other functionals of volatility: efficient estimation. Zbl 1292.60033
Jacod, Jean; Rosenbaum, Mathieu
51
2013
A test for the rank of the volatility process: the random perturbation approach. Zbl 1292.62126
Jacod, Jean; Podolskij, Mark
14
2013
Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales. Zbl 1274.60063
Diop, Assane; Jacod, Jean; Todorov, Viktor
6
2013
Discretization of processes. Zbl 1259.60004
Jacod, Jean; Protter, Philip
190
2012
Testing for jumps in noisy high frequency data. Zbl 1443.62325
Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia
39
2012
Statistics and high-frequency data. Zbl 1375.62025
Jacod, Jean
37
2012
Identifying the successive Blumenthal-Getoor indices of a discretely observed process. Zbl 1297.62051
Aït-Sahalia, Yacine; Jacod, Jean
15
2012
Functional relationships between price and volatility jumps and their consequences for discretely observed data. Zbl 1263.60038
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot
4
2012
Lévy processes at Saint-Flour. Reprint of lectures originally published in the Lecture Notes in Mathematics volumes 307 (1973), 1117 (1985), 1717 (1999) and 1897 (2007). Zbl 1254.60004
Bertoin, Jean; Bretagnolle, Jean L.; Doney, Ronald A.; Ibragimov, Ildar A.; Jacod, Jean
2
2012
Irregular sampling and central limit theorems for power variations: the continuous case. Zbl 1271.62198
Hayashi, Takaki; Jacod, Jean; Yoshida, Nakahiro
32
2011
Testing whether jumps have finite or infinite activity. Zbl 1234.62117
Aït-Sahalia, Yacine; Jacod, Jean
28
2011
Mod-Gaussian convergence: new limit theorems in probability and number theory. Zbl 1225.15035
Jacod, Jean; Kowalski, Emmanuel; Nikeghbali, Ashkan
26
2011
Limit theorems for moving averages of discretized processes plus noise. Zbl 1196.60033
Jacod, Jean; Podolskij, Mark; Vetter, Mathias
46
2010
Is Brownian motion necessary to model high-frequency data? Zbl 1327.62118
Aït-Sahalia, Yacine; Jacod, Jean
42
2010
Do price and volatility jump together? Zbl 1203.62139
Jacod, Jean; Todorov, Viktor
38
2010
Risk-neutral compatibility with option prices. Zbl 1224.91156
Jacod, Jean; Protter, Philip
36
2010
Microstructure noise in the continuous case: the pre-averaging approach. Zbl 1166.62078
Jacod, Jean; Li, Yingying; Mykland, Per A.; Podolskij, Mark; Vetter, Mathias
210
2009
Testing for jumps in a discretely observed process. Zbl 1155.62057
Aït-Sahalia, Yacine; Jacod, Jean
158
2009
Estimating the degree of activity of jumps in high frequency data. Zbl 1173.62060
Aït-Sahalia, Yacine; Jacod, Jean
112
2009
Testing for common arrivals of jumps for discretely observed multidimensional processes. Zbl 1168.62075
Jacod, Jean; Todorov, Viktor
34
2009
Asymptotic properties of realized power variations and related functionals of semimartingales. Zbl 1142.60022
Jacod, Jean
136
2008
Fisher’s information for discretely sampled Lévy processes. Zbl 1144.62070
Aït-Sahalia, Yacine; Jacod, Jean
32
2008
Estimation of the Brownian dimension of a continuous Itô process. Zbl 1155.62059
Jacod, Jean; Lejay, Antoine; Talay, Denis
7
2008
Volatility estimators for discretely sampled Lévy processes. Zbl 1114.62109
Aït-Sahalia, Yacine; Jacod, Jean
47
2007
Asymptotic properties of power variations of Lévy processes. Zbl 1185.60031
Jacod, Jean
38
2007
A central limit theorem for realised power and bipower variation of continuous semimartingales. Zbl 1106.60037
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Podolskij, Mark; Shephard, Neil
96
2006
Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil
43
2006
Parametric inference for discretely observed non-ergodic diffusions. Zbl 1100.62081
Jacod, Jean
22
2006
The approximate Euler method for Lévy driven stochastic differential equations. Zbl 1071.60046
Jacod, Jean; Kurtz, Thomas G.; Méléard, Sylvie; Protter, Philip
51
2005
Lévy term structure models: no-arbitrage and completeness. Zbl 1065.60086
Eberlein, Ernst; Jacod, Jean; Raible, Sebastian
37
2005
The Euler scheme for Lévy driven stochastic differential equations: limit theorems. Zbl 1054.65008
Jacod, Jean
49
2004
Limit theorems for stochastic processes. 2nd ed. Zbl 1018.60002
Jacod, Jean; Shiryaev, Albert N.
2003
Probability essentials. 2nd revised ed. Zbl 1014.60004
Jacod, Jean; Protter, Philip
63
2003
On asymptotic errors in discretization of processes. Zbl 1058.60020
Jacod, J.; Jakubowski, A.; Mémin, J.
8
2003
On processes with conditional independent increments and stable convergence in law. Zbl 1034.60035
Jacod, Jean
2
2003
The Monte-Carlo method for filtering with discrete-time observations: central limit theorems. Zbl 1111.60302
Del Moral, Pierre; Jacod, Jean
6
2002
Diffusions with measurement errors. I: Local asymptotic normality. Zbl 1008.60089
Gloter, Arnaud; Jacod, Jean
65
2001
Diffusions with measurement errors. II: Optimal estimators. Zbl 1009.60065
Gloter, Arnaud; Jacod, Jean
49
2001
The Monte-Carlo method for filtering with discrete-time observations. Zbl 0979.62072
Del Moral, Pierre; Jacod, Jean; Protter, Philip
39
2001
Interacting particle filtering with discrete observations. Zbl 1056.93574
Del Moral, Pierre; Jacod, Jean
14
2001
Non-parametric kernel estimation of the coefficient of diffusion. Zbl 0938.62085
Jacod, Jean
41
2000
Probability essentials. Zbl 0968.60003
Jacod, Jean; Protter, Philip
20
2000
Explicit form and robustness of martingale representations. Zbl 1044.60042
Jacod, Jean; Méléard, Sylvie; Protter, Philip
19
2000
Interacting particle filtering with discrete-time observations: Asymptotic behaviour in the Gaussian case. Zbl 0982.60026
Del Moral, Pierre; Jacod, Jean
2
2000
Asymptotic error distributions for the Euler method for stochastic differential equations. Zbl 0937.60060
Jacod, Jean; Protter, Philip
154
1998
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036
Jacod, J.; Shiryaev, A. N.
61
1998
Rates of convergence to the local time of a diffusion. Zbl 0911.60055
Jacod, Jean
21
1998
On continuous conditional Gaussian martingales and stable convergence in law. Zbl 0884.60038
Jacod, Jean
62
1997
On the range of options prices. Zbl 0889.90020
Eberlein, Ernst; Jacod, Jean
49
1997
A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors. Zbl 0882.60017
Delattre, Sylvain; Jacod, Jean
31
1997
Jumping Markov processes. Zbl 0841.60066
Jacod, J.; Skorokhod, A. V.
17
1996
Quadratic variation of the Brownian motion in the presence of round-off errors. (La variation quadratique du brownien en présence d’erreurs d’arrondi.) Zbl 0861.60085
Jacod, J.
6
1996
Limit theorems for stochastic processes. Vol. 1-2. (Predel’nye teoremy dlya sluchajnykh protsessov. Tom 1-2.) Zbl 0830.60025
Jacod, J.; Shiryaev, A. N.
182
1994
Estimation of the diffusion coefficient for diffusion processes: Random sampling. Zbl 0804.62078
Genon-Catalot, V.; Jacod, J.
19
1994
Jumping filtrations and martingales with finite variation. Zbl 0814.60039
Jacod, J.; Skorohod, A. V.
15
1994
On the estimation of the diffusion coefficient for multi-dimensional diffusion processes. Zbl 0770.62070
Genon-Catalot, Valentine; Jacod, Jean
114
1993
Random sampling in estimation problems for continuous Gaussian processes with independent increments. Zbl 0806.62065
Jacod, J.
3
1993
A remark on the weak convergence of processes in the Skorohod topology. Zbl 0787.60007
Jacod, Jean; Protter, Philip
1
1993
A remark on stochastic differential equations with Markov solutions. (Une remarque sur les équations différentielles stochastiques à solutions markoviennes.) Zbl 0741.60051
Jacod, J.; Protter, P.
6
1991
Local asymptotic normality and mixed normality for Markov statistical models. Zbl 0685.60016
Höpfner, Reinhard; Jacod, Jean; Ladelli, Lucia
19
1990
Regularity, partial regularity, partial information process, for a filtered statistical model. Zbl 0677.62001
Jacod, Jean
5
1990
Sur le processus de vraisemblance partielle. (On the partial likelihood process). Zbl 0727.60037
Jacod, Jean
3
1990
Convergence of filtered statistical models and Hellinger processes. Zbl 0684.60030
Jacod, Jean
9
1989
Filtered statistical models and Hellinger processes. Zbl 0684.60031
Jacod, Jean
3
1989
An application of the Emery topology: The information process of a filtered statistical model. (Une application de la topologie d’Emery: Le processus information d’un modèle statistique filtré.) Zbl 0739.62073
Jacod, Jean
3
1989
Time reversal on Lévy processes. Zbl 0646.60052
Jacod, Jean; Protter, Philip
35
1988
Une évaluation de la distance entre les lois d’une semimartingale et d’un processus à accroissements indépendants. (An evaluation of the distance between the laws of a semi-martingale and of a process with independent increments). Zbl 0673.60003
Jacod, Jean; Mano, Pascal
2
1988
Martingale problems, absolute continuity and contiguity. Zbl 0900.60054
Jacod, Jean
1
1988
Limit theorems for stochastic processes. Zbl 0635.60021
Jacod, Jean; Shiryaev, Albert N.
656
1987
Malliavin calculus for processes with jumps. Zbl 0706.60057
Bichteler, Klaus; Gravereaux, Jean-Bernard; Jacod, Jean
123
1987
Partial likelihood process and asymptotic normality. Zbl 0632.62088
Jacod, Jean
6
1987
On the convergence of point processes. (Sur la convergence des processus ponctuels.) Zbl 0652.60054
Jacod, Jean
3
1987
Processus admettant un processus a accroissements independants tangent: cas general. (Processes admitting a tangent process with independent increments: general case). Zbl 0621.60042
Jacod, J.; Sadi, H.
2
1987
Grossissement initial, hypothèse (H’) et théorème de Girsanov. Zbl 0568.60049
Jacod, Jean
51
1985
Théorèmes limite pour les processus. Zbl 0565.60030
Jacod, J.
17
1985
Grossissements de filtration et processus d’Ornstein-Uhlenbeck généralisé. Zbl 0575.60057
Jacod, Jean
3
1985
Une généralisation des semimartingales: Les processus admettant un processus à accroissements indépendants tangent. Zbl 0539.60033
Jacod, Jean
4
1984
Calcul de Malliavin pour les diffusions avec sauts: Existence d’une densité dans le cas unidimensionnel. Zbl 0525.60067
Bichteler, Klaus; Jacod, Jean
28
1983
On tightness and stopping times. Zbl 0501.60029
Jacod, J.; Memin, J.; Metivier, M.
20
1983
Random measures and stochastic integration. Zbl 0514.60051
Bichteler, K.; Jacod, J.
13
1983
Processus à accroissements independants: Une condition necessaire et suffisante de convergence en loi. Zbl 0526.60065
Jacod, Jean
6
1983
Rectification à ”Sur un type de convergence intermediaire entre la convergence en loi et la convergence en probabilité”. Zbl 0505.60011
Jacod, J.; Memin, J.
4
1983
Quelques remarques sur un nouveau type d’équations différentielles stochastiques. Zbl 0482.60056
Jacod, Jean; Protter, Philip
10
1982
...and 41 more Documents
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Cited by 3,834 Authors

68 Jacod, Jean
40 Podolskij, Mark
38 Todorov, Viktor
32 Pap, Gyula
29 Mikulevicius, Remigijus
29 Mykland, Per Aslak
27 Jeanblanc, Monique
26 Protter, Philip Elliott
25 Yoshida, Nakahiro
23 Barczy, Mátyás
23 Russo, Francesco
21 Aït-Sahalia, Yacine
21 Criens, David
21 Figueroa-López, José E.
21 Gloter, Arnaud
20 Eberlein, Ernst W.
20 Rosenbaum, Mathieu
19 Choulli, Tahir
19 Fournier, Nicolas
19 Platen, Eckhard
19 Uchida, Masayuki
19 Vetter, Mathias
18 Fukasawa, Masaaki
18 Kohatsu-Higa, Arturo
18 Liu, Zhi
18 Tauchen, George E.
17 Kallsen, Jan
17 Kong, Xinbing
17 Reiß, Markus
17 Ruf, Johannes
17 Tappe, Stefan
16 Fontana, Claudio
16 Jarrow, Robert Alan
16 Kim, Donggyu
16 Li, Jia
16 Tankov, Peter
15 Barndorff-Nielsen, Ole Eiler
15 Ceci, Claudia
15 Masuda, Hiroki
15 Schmidt, Thorsten
14 Kabanov, Yuriĭ Mikhaĭlovich
14 Kebaier, Ahmed
14 Kyprianou, Andreas E.
14 Mania, Michael
14 Méléard, Sylvie
14 Ouknine, Youssef
14 Spreij, Peter
14 Zhang, Lan
13 Bandini, Elena
13 Bibinger, Markus
13 Chen, Zhen-Qing
13 Höpfner, Reinhard
13 Kardaras, Constantinos
13 Kohlmann, Michael
13 Mémin, Jean
13 Papapantoleon, Antonis
13 Pham, Huyên
13 Possamaï, Dylan
13 Rásonyi, Miklós
13 Shimizu, Yasutaka
13 Shiryaev, Al’bert Nikolaevich
13 Siu, Tak Kuen
13 Tan, Xiaolu
13 Wang, Yazhen
13 Xiong, Dewen
13 Zhang, Xicheng
12 Dufour, François
12 Kubilius, Kȩstutis
12 Li, Yingying
12 Muhle-Karbe, Johannes
12 Nutz, Marcel
12 Pagès, Gilles
12 Puhalskii, Anatolii A.
12 Schweizer, Martin
12 Veraart, Almut E. D.
12 Yor, Marc
11 Andersen, Torben G.
11 Bielecki, Tomasz R.
11 Christensen, Kim
11 Engelbert, Hans-Jürgen
11 Grigelionis, Bronius I.
11 Hoffmann, Marc
11 Löcherbach, Eva
11 Mancini, Cecilia
11 Privault, Nicolas
11 Słomiński, Leszek
11 Song, Yuping
11 Wefelmeyer, Wolfgang
10 Biagini, Francesca
10 Bollerslev, Tim
10 Clement, Emmanuelle
10 Cont, Rama
10 Corcuera, José Manuel
10 Cuchiero, Christa
10 Elliott, Robert James
10 Fuhrman, Marco
10 Gapeev, Pavel V.
10 Jing, Bingyi
10 Klüppelberg, Claudia
10 Koike, Yuta
...and 3,734 more Authors
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Cited in 398 Serials

499 Stochastic Processes and their Applications
179 The Annals of Applied Probability
165 Journal of Econometrics
117 Finance and Stochastics
97 Bernoulli
94 The Annals of Probability
91 Statistics & Probability Letters
86 Probability Theory and Related Fields
71 Stochastic Analysis and Applications
70 Journal of Theoretical Probability
68 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
66 The Annals of Statistics
62 Statistical Inference for Stochastic Processes
61 Journal of Applied Probability
61 Mathematical Finance
58 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
58 Electronic Journal of Probability
58 Quantitative Finance
50 Stochastics
49 Advances in Applied Probability
48 International Journal of Theoretical and Applied Finance
45 Journal of Statistical Planning and Inference
44 Electronic Journal of Statistics
40 Lithuanian Mathematical Journal
39 Insurance Mathematics & Economics
38 Applied Mathematics and Optimization
38 SIAM Journal on Financial Mathematics
34 Journal of Mathematical Analysis and Applications
34 Journal of Functional Analysis
32 Applied Mathematical Finance
30 SIAM Journal on Control and Optimization
30 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
30 Econometric Theory
28 Journal of Multivariate Analysis
27 Theory of Probability and its Applications
27 Mathematics and Financial Economics
25 Annals of the Institute of Statistical Mathematics
24 Journal of Statistical Physics
24 Stochastics
22 Communications in Statistics. Theory and Methods
22 Cybernetics and Systems Analysis
22 Stochastics and Dynamics
21 Potential Analysis
20 Scandinavian Journal of Statistics
19 Queueing Systems
19 ALEA. Latin American Journal of Probability and Mathematical Statistics
18 Transactions of the American Mathematical Society
18 Journal of Nonparametric Statistics
17 Decisions in Economics and Finance
16 Journal of Time Series Analysis
16 Statistics
16 Journal of Economic Dynamics & Control
15 European Journal of Operational Research
15 Electronic Communications in Probability
15 Stochastic Models
15 Annals of Finance
14 Communications in Mathematical Physics
14 Journal of Computational and Applied Mathematics
14 Annales de l’Institut Henri Poincaré. Nouvelle Série. Section B. Calcul des Probabilités et Statistique
13 Journal of Mathematical Economics
13 Acta Applicandae Mathematicae
13 Computational Statistics and Data Analysis
13 Asia-Pacific Financial Markets
12 Journal of Mathematical Sciences (New York)
12 Methodology and Computing in Applied Probability
12 Scandinavian Actuarial Journal
12 Modern Stochastics. Theory and Applications
11 Physica A
11 Econometric Reviews
11 Theory of Probability and Mathematical Statistics
10 Journal of Mathematical Biology
10 Mathematics of Operations Research
10 Communications in Statistics. Simulation and Computation
10 Probability in the Engineering and Informational Sciences
10 Probability, Uncertainty and Quantitative Risk
9 Journal of the American Statistical Association
9 Stochastics and Stochastics Reports
9 Monte Carlo Methods and Applications
9 Review of Derivatives Research
9 Science China. Mathematics
9 Stochastic and Partial Differential Equations. Analysis and Computations
9 Japanese Journal of Statistics and Data Science
8 Metrika
8 Ukrainian Mathematical Journal
8 Journal of Differential Equations
8 Proceedings of the American Mathematical Society
8 Acta Mathematicae Applicatae Sinica. English Series
8 Studies in Nonlinear Dynamics and Econometrics
8 Acta Mathematica Sinica. English Series
8 International Journal of Stochastic Analysis
8 Frontiers of Mathematical Finance
7 Chaos, Solitons and Fractals
7 Journal of Optimization Theory and Applications
7 Mathematische Nachrichten
7 Systems & Control Letters
7 Random Operators and Stochastic Equations
7 Bulletin des Sciences Mathématiques
7 Mathematical Methods of Operations Research
7 Statistics and Computing
6 Mathematical Notes
...and 298 more Serials
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Cited in 50 Fields

3,248 Probability theory and stochastic processes (60-XX)
1,212 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,195 Statistics (62-XX)
325 Systems theory; control (93-XX)
258 Numerical analysis (65-XX)
224 Partial differential equations (35-XX)
145 Operations research, mathematical programming (90-XX)
113 Calculus of variations and optimal control; optimization (49-XX)
103 Statistical mechanics, structure of matter (82-XX)
99 Biology and other natural sciences (92-XX)
66 Ordinary differential equations (34-XX)
53 Operator theory (47-XX)
46 Dynamical systems and ergodic theory (37-XX)
41 Combinatorics (05-XX)
41 Measure and integration (28-XX)
35 Functional analysis (46-XX)
31 Computer science (68-XX)
29 Harmonic analysis on Euclidean spaces (42-XX)
26 Potential theory (31-XX)
24 Integral equations (45-XX)
21 Global analysis, analysis on manifolds (58-XX)
21 Fluid mechanics (76-XX)
20 Real functions (26-XX)
20 Quantum theory (81-XX)
17 Information and communication theory, circuits (94-XX)
15 Number theory (11-XX)
10 History and biography (01-XX)
10 Linear and multilinear algebra; matrix theory (15-XX)
10 Difference and functional equations (39-XX)
10 Integral transforms, operational calculus (44-XX)
8 Approximations and expansions (41-XX)
8 Convex and discrete geometry (52-XX)
6 General and overarching topics; collections (00-XX)
6 Mechanics of particles and systems (70-XX)
5 Mathematical logic and foundations (03-XX)
5 Topological groups, Lie groups (22-XX)
5 Functions of a complex variable (30-XX)
5 Special functions (33-XX)
5 Abstract harmonic analysis (43-XX)
5 Geophysics (86-XX)
4 Differential geometry (53-XX)
3 Group theory and generalizations (20-XX)
3 General topology (54-XX)
2 Several complex variables and analytic spaces (32-XX)
2 Mechanics of deformable solids (74-XX)
2 Mathematics education (97-XX)
1 Algebraic geometry (14-XX)
1 Algebraic topology (55-XX)
1 Optics, electromagnetic theory (78-XX)
1 Classical thermodynamics, heat transfer (80-XX)

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