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Charlotte Dion, Sarah Lemler

Public reference bibliography and cataloged PDF materials authored or published by Charlotte Dion, Sarah Lemler.

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Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process

Year: 2020 • Source: hal.science • Listed PDF

We consider a 1-dimensional diffusion process X with jumps. The particularity of this model relies in the jumps which are driven by a multidimensional Hawkes process denoted N. This article is dedicated to the study of a...