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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/
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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 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

139 Publications have been cited 5,554 times in 3,541 Documents Cited by Year
Limit theorems for stochastic processes. 2nd ed. Zbl 1018.60002
Jacod, Jean; Shiryaev, Albert N.
969
2003
Limit theorems for stochastic processes. Zbl 0635.60021
Jacod, Jean; Shiryaev, Albert N.
557
1987
Calcul stochastique et problèmes de martingales. Zbl 0414.60053
Jacod, J.
451
1979
Multivariate point processes: Predictable projection, Radon-Nikodym derivatives representation of martingales. Zbl 0302.60032
Jacod, Jean
202
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
174
2009
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.
172
1994
Discretization of processes. Zbl 1259.60004
Jacod, Jean; Protter, Philip
147
2012
Testing for jumps in a discretely observed process. Zbl 1155.62057
Aït-Sahalia, Yacine; Jacod, Jean
139
2009
Asymptotic error distributions for the Euler method for stochastic differential equations. Zbl 0937.60060
Jacod, Jean; Protter, Philip
138
1998
Asymptotic properties of realized power variations and related functionals of semimartingales. Zbl 1142.60022
Jacod, Jean
128
2008
Malliavin calculus for processes with jumps. Zbl 0706.60057
Bichteler, Klaus; Gravereaux, Jean-Bernard; Jacod, Jean
108
1987
Estimating the degree of activity of jumps in high frequency data. Zbl 1173.62060
Aït-Sahalia, Yacine; Jacod, Jean
101
2009
On the estimation of the diffusion coefficient for multi-dimensional diffusion processes. Zbl 0770.62070
Genon-Catalot, Valentine; Jacod, Jean
95
1993
High-frequency financial econometrics. Zbl 1298.91018
Aït-Sahalia, Yacine; Jacod, Jean
87
2014
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
86
2006
Diffusions with measurement errors. I: Local asymptotic normality. Zbl 1008.60089
Gloter, Arnaud; Jacod, Jean
62
2001
Semimartingales and Markov processes. Zbl 0443.60074
Cinlar, E.; Jacod, J.; Protter, P.; Sharpe, M. J.
58
1980
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036
Jacod, J.; Shiryaev, A. N.
54
1998
On continuous conditional Gaussian martingales and stable convergence in law. Zbl 0884.60038
Jacod, Jean
51
1997
Probability essentials. 2nd revised ed. Zbl 1014.60004
Jacod, Jean; Protter, Philip
50
2003
Diffusions with measurement errors. II: Optimal estimators. Zbl 1009.60065
Gloter, Arnaud; Jacod, Jean
48
2001
The approximate Euler method for Lévy driven stochastic differential equations. Zbl 1071.60046
Jacod, Jean; Kurtz, Thomas G.; Méléard, Sylvie; Protter, Philip
47
2005
On the range of options prices. Zbl 0889.90020
Eberlein, Ernst; Jacod, Jean
46
1997
Systemes de Levy des processus de Markov. Zbl 0265.60074
Benveniste, Albert; Jacod, Jean
45
1973
Limit theorems for moving averages of discretized processes plus noise. Zbl 1196.60033
Jacod, Jean; Podolskij, Mark; Vetter, Mathias
44
2010
The Euler scheme for Lévy driven stochastic differential equations: limit theorems. Zbl 1054.65008
Jacod, Jean
44
2004
Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil
42
2006
Volatility estimators for discretely sampled Lévy processes. Zbl 1114.62109
Aït-Sahalia, Yacine; Jacod, Jean
42
2007
Is Brownian motion necessary to model high-frequency data? Zbl 1327.62118
Aït-Sahalia, Yacine; Jacod, Jean
41
2010
Quarticity and other functionals of volatility: efficient estimation. Zbl 1292.60033
Jacod, Jean; Rosenbaum, Mathieu
40
2013
Caractéristiques locales et conditions de continuite absolue pour les semi-martingales. Zbl 0315.60026
Jacod, J.; Memin, J.
39
1976
Non-parametric kernel estimation of the coefficient of diffusion. Zbl 0938.62085
Jacod, Jean
37
2000
Lévy term structure models: no-arbitrage and completeness. Zbl 1065.60086
Eberlein, Ernst; Jacod, Jean; Raible, Sebastian
37
2005
Processus ponctuels et martingales: Résultats recents sur la modelisation et le filtrage. Zbl 0369.60059
Bremaud, P.; Jacod, J.
37
1977
Grossissement initial, hypothèse (H’) et théorème de Girsanov. Zbl 0568.60049
Jacod, Jean
36
1985
Asymptotic properties of power variations of Lévy processes. Zbl 1185.60031
Jacod, Jean
34
2007
The Monte-Carlo method for filtering with discrete-time observations. Zbl 0979.62072
Del Moral, Pierre; Jacod, Jean; Protter, Philip
32
2001
Time reversal on Lévy processes. Zbl 0646.60052
Jacod, Jean; Protter, Philip
31
1988
Statistics and high-frequency data. Zbl 1375.62025
Jacod, Jean
31
2012
Do price and volatility jump together? Zbl 1203.62139
Jacod, Jean; Todorov, Viktor
30
2010
Testing for jumps in noisy high frequency data. Zbl 1443.62325
Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia
29
2012
Fisher’s information for discretely sampled Lévy processes. Zbl 1144.62070
Aït-Sahalia, Yacine; Jacod, Jean
29
2008
Testing for common arrivals of jumps for discretely observed multidimensional processes. Zbl 1168.62075
Jacod, Jean; Todorov, Viktor
29
2009
Étude des solutions extremales et représentation intégrale des solutions pour certains problèmes de martingales. Zbl 0346.60032
Jacod, Jean; Yor, Marc
29
1977
Risk-neutral compatibility with option prices. Zbl 1224.91156
Jacod, Jean; Protter, Philip
28
2010
Irregular sampling and central limit theorems for power variations: the continuous case. Zbl 1271.62198
Hayashi, Takaki; Jacod, Jean; Yoshida, Nakahiro
27
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
27
1997
Sur un type de convergence intermediaire entre la convergence en loi et la convergence en probabilité. Zbl 0458.60016
Jacod, Jean; Memin, Jean
26
1981
Calcul de Malliavin pour les diffusions avec sauts: Existence d’une densité dans le cas unidimensionnel. Zbl 0525.60067
Bichteler, Klaus; Jacod, Jean
25
1983
Testing whether jumps have finite or infinite activity. Zbl 1234.62117
Aït-Sahalia, Yacine; Jacod, Jean
24
2011
Representation of semimartingale Markov processes in terms of Wiener processes and Poisson random measures. Zbl 0531.60068
Çinlar, E.; Jacod, J.
24
1981
A remark on the rates of convergence for integrated volatility estimation in the presence of jumps. Zbl 1305.62036
Jacod, Jean; Reiss, Markus
24
2014
Efficient estimation of integrated volatility in presence of infinite variation jumps. Zbl 1305.62146
Jacod, Jean; Todorov, Viktor
23
2014
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
21
2016
Théorème de renouvellement et classification pour les chaînes semi- markoviennes. Zbl 0217.50502
Jacod, J.
21
1971
Mod-Gaussian convergence: new limit theorems in probability and number theory. Zbl 1225.15035
Jacod, Jean; Kowalski, Emmanuel; Nikeghbali, Ashkan
20
2011
Parametric inference for discretely observed non-ergodic diffusions. Zbl 1100.62081
Jacod, Jean
19
2006
On tightness and stopping times. Zbl 0501.60029
Jacod, J.; Memin, J.; Metivier, M.
19
1983
Un théorème de représentation pour les martingales discontinues. Zbl 0307.60043
Jacod, Jean
19
1976
Local asymptotic normality and mixed normality for Markov statistical models. Zbl 0685.60016
Höpfner, Reinhard; Jacod, Jean; Ladelli, Lucia
18
1990
Explicit form and robustness of martingale representations. Zbl 1044.60042
Jacod, Jean; Méléard, Sylvie; Protter, Philip
18
2000
Rates of convergence to the local time of a diffusion. Zbl 0911.60055
Jacod, Jean
18
1998
Estimation of the diffusion coefficient for diffusion processes: Random sampling. Zbl 0804.62078
Genon-Catalot, V.; Jacod, J.
18
1994
Weak and strong solutions of stochastic differential equations. Zbl 0434.60061
Jacod, Jean
15
1980
Théorèmes limite pour les processus. Zbl 0565.60030
Jacod, J.
15
1985
Probability essentials. Zbl 0968.60003
Jacod, Jean; Protter, Philip
14
2000
Identifying the successive Blumenthal-Getoor indices of a discretely observed process. Zbl 1297.62051
Aït-Sahalia, Yacine; Jacod, Jean
13
2012
Interacting particle filtering with discrete observations. Zbl 1056.93574
Del Moral, Pierre; Jacod, Jean
13
2001
Jumping Markov processes. Zbl 0841.60066
Jacod, J.; Skorokhod, A. V.
13
1996
Une condition d’existence et d’unicité pour les solutions fortes d’équations différentielles stochastiques. Zbl 0436.60044
Jacod, Jean
12
1980
Weak and strong solutions of stochastic differential equations: Existence and stability. Zbl 0471.60066
Jacod, Jean; Memin, Jean
12
1981
Existence of weak solutions for stochastic differential equations with driving semimartingales. Zbl 0454.60057
Jacod, Jean; Memin, Jean
11
1981
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
A general theorem of representation for martingales. Zbl 0362.60068
Jacod, Jean
10
1977
Intégrales stochastiques par rapport à une semimartingale vectorielle et changements de filtration. Zbl 0429.60054
Jacod, Jean
10
1980
Jumping filtrations and martingales with finite variation. Zbl 0814.60039
Jacod, J.; Skorohod, A. V.
10
1994
Statistical properties of microstructure noise. Zbl 1410.62204
Jacod, Jean; Li, Yingying; Zheng, Xinghua
10
2017
Convergence en loi de semimartingales et variation quadratique. Zbl 0458.60037
Jacod, Jean
9
1981
Random measures and stochastic integration. Zbl 0514.60051
Bichteler, K.; Jacod, J.
9
1983
Convergence of filtered statistical models and Hellinger processes. Zbl 0684.60030
Jacod, Jean
8
1989
A test for the rank of the volatility process: the random perturbation approach. Zbl 1292.62126
Jacod, Jean; Podolskij, Mark
8
2013
Systemes regeneratifs et processus semi-Markoviens. Zbl 0282.60059
Jacod, Jean
7
1974
Estimating the integrated volatility with tick observations. Zbl 1452.62771
Jacod, Jean; Li, Yingying; Zheng, Xinghua
7
2019
Processus à accroissements independants: Une condition necessaire et suffisante de convergence en loi. Zbl 0526.60065
Jacod, Jean
6
1983
Partial likelihood process and asymptotic normality. Zbl 0632.62088
Jacod, Jean
6
1987
Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method. Zbl 1314.62095
Jacod, Jean; Mykland, Per A.
6
2015
On asymptotic errors in discretization of processes. Zbl 1058.60020
Jacod, J.; Jakubowski, A.; Mémin, J.
6
2003
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
Estimation of volatility functionals: the case of a \(\sqrt{n}\) window. Zbl 1401.60078
Jacod, Jean; Rosenbaum, Mathieu
6
2015
A review of asymptotic theory of estimating functions. Zbl 1450.62101
Jacod, Jean; Sørensen, Michael
6
2018
Regularity, partial regularity, partial information process, for a filtered statistical model. Zbl 0677.62001
Jacod, Jean
5
1990
Existence and uniqueness for stochastic differential equations. Zbl 0409.60066
Jacod, Jean
5
1979
Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales. Zbl 1274.60063
Diop, Assane; Jacod, Jean; Todorov, Viktor
5
2013
Sur la convergence des semimartingales vers un processus à accroissements independants. Zbl 0433.60034
Jacod, J.; Memin, J.
5
1980
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.
5
1991
Estimation of the Brownian dimension of a continuous Itô process. Zbl 1155.62059
Jacod, Jean; Lejay, Antoine; Talay, Denis
5
2008
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.
5
1996
Two dependent Poisson processes whose sum is still a Poisson process. Zbl 0305.60022
Jacod, Jean
5
1975
Estimating the integrated volatility with tick observations. Zbl 1452.62771
Jacod, Jean; Li, Yingying; Zheng, Xinghua
7
2019
Estimation of volatility in a high-frequency setting: a short review. Zbl 1432.91111
Jacod, Jean
1
2019
A review of asymptotic theory of estimating functions. Zbl 1450.62101
Jacod, Jean; Sørensen, Michael
6
2018
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
5
2018
Semimartingale: Itô or not ? Zbl 06814949
Aït-Sahalia, Yacine; Jacod, Jean
3
2018
Statistical properties of microstructure noise. Zbl 1410.62204
Jacod, Jean; Li, Yingying; Zheng, Xinghua
10
2017
Testing for non-correlation between price and volatility jumps. Zbl 1422.91781
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot
4
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
21
2016
Efficient estimation of integrated volatility in presence of infinite variation jumps with multiple activity indices. Zbl 1354.60019
Jacod, Jean; Todorov, Viktor
3
2016
Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method. Zbl 1314.62095
Jacod, Jean; Mykland, Per A.
6
2015
Estimation of volatility functionals: the case of a \(\sqrt{n}\) window. Zbl 1401.60078
Jacod, Jean; Rosenbaum, Mathieu
6
2015
High-frequency financial econometrics. Zbl 1298.91018
Aït-Sahalia, Yacine; Jacod, Jean
87
2014
A remark on the rates of convergence for integrated volatility estimation in the presence of jumps. Zbl 1305.62036
Jacod, Jean; Reiss, Markus
24
2014
Efficient estimation of integrated volatility in presence of infinite variation jumps. Zbl 1305.62146
Jacod, Jean; Todorov, Viktor
23
2014
Quarticity and other functionals of volatility: efficient estimation. Zbl 1292.60033
Jacod, Jean; Rosenbaum, Mathieu
40
2013
A test for the rank of the volatility process: the random perturbation approach. Zbl 1292.62126
Jacod, Jean; Podolskij, Mark
8
2013
Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales. Zbl 1274.60063
Diop, Assane; Jacod, Jean; Todorov, Viktor
5
2013
Discretization of processes. Zbl 1259.60004
Jacod, Jean; Protter, Philip
147
2012
Statistics and high-frequency data. Zbl 1375.62025
Jacod, Jean
31
2012
Testing for jumps in noisy high frequency data. Zbl 1443.62325
Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia
29
2012
Identifying the successive Blumenthal-Getoor indices of a discretely observed process. Zbl 1297.62051
Aït-Sahalia, Yacine; Jacod, Jean
13
2012
Functional relationships between price and volatility jumps and their consequences for discretely observed data. Zbl 1263.60038
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot
3
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
1
2012
Irregular sampling and central limit theorems for power variations: the continuous case. Zbl 1271.62198
Hayashi, Takaki; Jacod, Jean; Yoshida, Nakahiro
27
2011
Testing whether jumps have finite or infinite activity. Zbl 1234.62117
Aït-Sahalia, Yacine; Jacod, Jean
24
2011
Mod-Gaussian convergence: new limit theorems in probability and number theory. Zbl 1225.15035
Jacod, Jean; Kowalski, Emmanuel; Nikeghbali, Ashkan
20
2011
Limit theorems for moving averages of discretized processes plus noise. Zbl 1196.60033
Jacod, Jean; Podolskij, Mark; Vetter, Mathias
44
2010
Is Brownian motion necessary to model high-frequency data? Zbl 1327.62118
Aït-Sahalia, Yacine; Jacod, Jean
41
2010
Do price and volatility jump together? Zbl 1203.62139
Jacod, Jean; Todorov, Viktor
30
2010
Risk-neutral compatibility with option prices. Zbl 1224.91156
Jacod, Jean; Protter, Philip
28
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
174
2009
Testing for jumps in a discretely observed process. Zbl 1155.62057
Aït-Sahalia, Yacine; Jacod, Jean
139
2009
Estimating the degree of activity of jumps in high frequency data. Zbl 1173.62060
Aït-Sahalia, Yacine; Jacod, Jean
101
2009
Testing for common arrivals of jumps for discretely observed multidimensional processes. Zbl 1168.62075
Jacod, Jean; Todorov, Viktor
29
2009
Asymptotic properties of realized power variations and related functionals of semimartingales. Zbl 1142.60022
Jacod, Jean
128
2008
Fisher’s information for discretely sampled Lévy processes. Zbl 1144.62070
Aït-Sahalia, Yacine; Jacod, Jean
29
2008
Estimation of the Brownian dimension of a continuous Itô process. Zbl 1155.62059
Jacod, Jean; Lejay, Antoine; Talay, Denis
5
2008
Volatility estimators for discretely sampled Lévy processes. Zbl 1114.62109
Aït-Sahalia, Yacine; Jacod, Jean
42
2007
Asymptotic properties of power variations of Lévy processes. Zbl 1185.60031
Jacod, Jean
34
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
86
2006
Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil
42
2006
Parametric inference for discretely observed non-ergodic diffusions. Zbl 1100.62081
Jacod, Jean
19
2006
The approximate Euler method for Lévy driven stochastic differential equations. Zbl 1071.60046
Jacod, Jean; Kurtz, Thomas G.; Méléard, Sylvie; Protter, Philip
47
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
44
2004
Limit theorems for stochastic processes. 2nd ed. Zbl 1018.60002
Jacod, Jean; Shiryaev, Albert N.
969
2003
Probability essentials. 2nd revised ed. Zbl 1014.60004
Jacod, Jean; Protter, Philip
50
2003
On asymptotic errors in discretization of processes. Zbl 1058.60020
Jacod, J.; Jakubowski, A.; Mémin, J.
6
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
4
2002
Diffusions with measurement errors. I: Local asymptotic normality. Zbl 1008.60089
Gloter, Arnaud; Jacod, Jean
62
2001
Diffusions with measurement errors. II: Optimal estimators. Zbl 1009.60065
Gloter, Arnaud; Jacod, Jean
48
2001
The Monte-Carlo method for filtering with discrete-time observations. Zbl 0979.62072
Del Moral, Pierre; Jacod, Jean; Protter, Philip
32
2001
Interacting particle filtering with discrete observations. Zbl 1056.93574
Del Moral, Pierre; Jacod, Jean
13
2001
Non-parametric kernel estimation of the coefficient of diffusion. Zbl 0938.62085
Jacod, Jean
37
2000
Explicit form and robustness of martingale representations. Zbl 1044.60042
Jacod, Jean; Méléard, Sylvie; Protter, Philip
18
2000
Probability essentials. Zbl 0968.60003
Jacod, Jean; Protter, Philip
14
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
138
1998
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036
Jacod, J.; Shiryaev, A. N.
54
1998
Rates of convergence to the local time of a diffusion. Zbl 0911.60055
Jacod, Jean
18
1998
On continuous conditional Gaussian martingales and stable convergence in law. Zbl 0884.60038
Jacod, Jean
51
1997
On the range of options prices. Zbl 0889.90020
Eberlein, Ernst; Jacod, Jean
46
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
27
1997
Jumping Markov processes. Zbl 0841.60066
Jacod, J.; Skorokhod, A. V.
13
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.
5
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.
172
1994
Estimation of the diffusion coefficient for diffusion processes: Random sampling. Zbl 0804.62078
Genon-Catalot, V.; Jacod, J.
18
1994
Jumping filtrations and martingales with finite variation. Zbl 0814.60039
Jacod, J.; Skorohod, A. V.
10
1994
On the estimation of the diffusion coefficient for multi-dimensional diffusion processes. Zbl 0770.62070
Genon-Catalot, Valentine; Jacod, Jean
95
1993
Random sampling in estimation problems for continuous Gaussian processes with independent increments. Zbl 0806.62065
Jacod, J.
2
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.
5
1991
Local asymptotic normality and mixed normality for Markov statistical models. Zbl 0685.60016
Höpfner, Reinhard; Jacod, Jean; Ladelli, Lucia
18
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
8
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
2
1989
Time reversal on Lévy processes. Zbl 0646.60052
Jacod, Jean; Protter, Philip
31
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.
557
1987
Malliavin calculus for processes with jumps. Zbl 0706.60057
Bichteler, Klaus; Gravereaux, Jean-Bernard; Jacod, Jean
108
1987
Partial likelihood process and asymptotic normality. Zbl 0632.62088
Jacod, Jean
6
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
On the convergence of point processes. (Sur la convergence des processus ponctuels.) Zbl 0652.60054
Jacod, Jean
2
1987
Grossissement initial, hypothèse (H’) et théorème de Girsanov. Zbl 0568.60049
Jacod, Jean
36
1985
Théorèmes limite pour les processus. Zbl 0565.60030
Jacod, J.
15
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
2
1984
Calcul de Malliavin pour les diffusions avec sauts: Existence d’une densité dans le cas unidimensionnel. Zbl 0525.60067
Bichteler, Klaus; Jacod, Jean
25
1983
On tightness and stopping times. Zbl 0501.60029
Jacod, J.; Memin, J.; Metivier, M.
19
1983
Random measures and stochastic integration. Zbl 0514.60051
Bichteler, K.; Jacod, J.
9
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
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
Equations différentielles stochastiques linéaires: La méthode de variation des constantes. Zbl 0479.60063
Jacod, Jean
3
1982
...and 39 more Documents
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Cited by 3,262 Authors

68 Jacod, Jean
34 Podolskij, Mark
34 Todorov, Viktor
29 Pap, Gyula
28 Mikulevicius, Remigijus
26 Mykland, Per Aslak
24 Jeanblanc, Monique
23 Protter, Philip Elliott
22 Yoshida, Nakahiro
21 Aït-Sahalia, Yacine
20 Barczy, Mátyás
20 Eberlein, Ernst W.
20 Figueroa-López, José E.
20 Gloter, Arnaud
20 Russo, Francesco
19 Rosenbaum, Mathieu
18 Fournier, Nicolas G.
18 Liu, Zhi
18 Tauchen, George E.
18 Vetter, Mathias
17 Kallsen, Jan
16 Kohatsu-Higa, Arturo
16 Platen, Eckhard
16 Ruf, Johannes
15 Choulli, Tahir
15 Kong, Xinbing
14 Ceci, Claudia
14 Criens, David
14 Jarrow, Robert Alan
14 Kabanov, Yuriĭ Mikhaĭlovich
14 Li, Jia
14 Reiß, Markus
14 Uchida, Masayuki
13 Barndorff-Nielsen, Ole Eiler
13 Bibinger, Markus
13 Chen, Zhen-Qing
13 Fontana, Claudio
13 Höpfner, Reinhard
13 Kardaras, Constantinos
13 Kebaier, Ahmed
13 Kyprianou, Andreas E.
13 Masuda, Hiroki
13 Méléard, Sylvie
13 Mémin, Jean
13 Pham, Huyên
13 Schmidt, Thorsten
13 Siu, Tak Kuen
13 Tankov, Peter
13 Tappe, Stefan
13 Xiong, Dewen
12 Fukasawa, Masaaki
12 Kohlmann, Michael
12 Pagès, Gilles
12 Papapantoleon, Antonis
12 Rásonyi, Miklós
12 Schweizer, Martin
12 Yor, Marc
12 Zhang, Lan
11 Mania, Michael
11 Muhle-Karbe, Johannes
11 Shiryaev, Al’bert Nikolaevich
11 Spreij, Peter
11 Wefelmeyer, Wolfgang
10 Bandini, Elena
10 Elliott, Robert James
10 Fuhrman, Marco
10 Gapeev, Pavel V.
10 Grigelionis, Bronius I.
10 Hoffmann, Marc
10 Jing, Bingyi
10 Kim, Donggyu
10 Klüppelberg, Claudia
10 Koike, Yuta
10 Mancini, Cecilia
10 Nutz, Marcel
10 Ouknine, Youssef
10 Privault, Nicolas
10 Puhalskii, Anatolii A.
10 Shimizu, Yasutaka
10 Słomiński, Leszek
10 Wang, Yazhen
10 Xiu, Dacheng
10 Zhang, Xicheng
10 Zhang, Yi
9 Behme, Anita Diana
9 Bollerslev, Tim
9 Christensen, Kim
9 Clement, Emmanuelle
9 Cont, Rama
9 Cosso, Andrea
9 Cuchiero, Christa
9 Engelbert, Hans Jürgen
9 Gerardi, Anna
9 Küchler, Uwe
9 Li, Yingying
9 Mishura, Yuliya Stepanivna
9 Nikeghbali, Ashkan
9 Nishiyama, Yoichi
9 Pergamenshchikov, Sergeĭ Markovich
9 Pistorius, Martijn R.
...and 3,162 more Authors
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Cited in 361 Serials

429 Stochastic Processes and their Applications
160 The Annals of Applied Probability
144 Journal of Econometrics
106 Finance and Stochastics
93 The Annals of Probability
87 Bernoulli
81 Probability Theory and Related Fields
80 Statistics & Probability Letters
69 Stochastic Analysis and Applications
67 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
61 The Annals of Statistics
59 Journal of Theoretical Probability
56 Journal of Applied Probability
55 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
55 Statistical Inference for Stochastic Processes
54 Quantitative Finance
51 Mathematical Finance
44 Advances in Applied Probability
41 International Journal of Theoretical and Applied Finance
40 Journal of Statistical Planning and Inference
40 Electronic Journal of Statistics
39 Lithuanian Mathematical Journal
36 Insurance Mathematics & Economics
32 Applied Mathematics and Optimization
32 SIAM Journal on Financial Mathematics
31 Journal of Functional Analysis
30 Applied Mathematical Finance
29 Electronic Journal of Probability
28 Econometric Theory
27 SIAM Journal on Control and Optimization
27 Stochastics
26 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
25 Journal of Mathematical Analysis and Applications
25 Mathematics and Financial Economics
24 Stochastics
23 Annals of the Institute of Statistical Mathematics
22 Theory of Probability and its Applications
21 Cybernetics and Systems Analysis
20 Journal of Multivariate Analysis
20 Potential Analysis
19 Journal of Statistical Physics
18 Queueing Systems
18 Communications in Statistics. Theory and Methods
17 Scandinavian Journal of Statistics
17 Transactions of the American Mathematical Society
15 Journal of Nonparametric Statistics
15 Decisions in Economics and Finance
15 Annals of Finance
14 Statistics
14 Journal of Economic Dynamics & Control
14 Annales de l’Institut Henri Poincaré. Nouvelle Série. Section B. Calcul des Probabilités et Statistique
14 Stochastics and Dynamics
13 Journal of Mathematical Economics
13 Acta Applicandae Mathematicae
13 Computational Statistics and Data Analysis
13 Asia-Pacific Financial Markets
12 Modern Stochastics. Theory and Applications
11 Communications in Mathematical Physics
11 Journal of Computational and Applied Mathematics
11 Econometric Reviews
11 Theory of Probability and Mathematical Statistics
11 Journal of Mathematical Sciences (New York)
11 Stochastic Models
10 European Journal of Operational Research
10 Electronic Communications in Probability
10 ALEA. Latin American Journal of Probability and Mathematical Statistics
9 Journal of Mathematical Biology
9 Communications in Statistics. Simulation and Computation
9 Stochastics and Stochastics Reports
9 Probability in the Engineering and Informational Sciences
9 Methodology and Computing in Applied Probability
9 Review of Derivatives Research
9 Science China. Mathematics
8 Physica A
8 Journal of Differential Equations
8 Mathematics of Operations Research
8 Proceedings of the American Mathematical Society
8 Acta Mathematicae Applicatae Sinica. English Series
8 Acta Mathematica Sinica. English Series
8 Scandinavian Actuarial Journal
7 Ukrainian Mathematical Journal
7 Journal of the American Statistical Association
7 Mathematische Nachrichten
7 Systems & Control Letters
7 Journal of Time Series Analysis
7 International Journal of Stochastic Analysis
7 Stochastic and Partial Differential Equations. Analysis and Computations
7 Probability, Uncertainty and Quantitative Risk
6 Mathematical Notes
6 Chaos, Solitons and Fractals
6 Operations Research Letters
6 Economics Letters
6 Bulletin des Sciences Mathématiques
6 Monte Carlo Methods and Applications
6 Mathematical Methods of Operations Research
6 Journal of the Korean Statistical Society
6 Journal of Probability and Statistics
6 Statistics and Computing
5 Computers & Mathematics with Applications
5 Journal of Mathematical Physics
...and 261 more Serials
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Cited in 50 Fields

2,797 Probability theory and stochastic processes (60-XX)
1,035 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,030 Statistics (62-XX)
278 Systems theory; control (93-XX)
221 Numerical analysis (65-XX)
171 Partial differential equations (35-XX)
121 Operations research, mathematical programming (90-XX)
96 Calculus of variations and optimal control; optimization (49-XX)
85 Statistical mechanics, structure of matter (82-XX)
71 Biology and other natural sciences (92-XX)
55 Ordinary differential equations (34-XX)
44 Operator theory (47-XX)
39 Dynamical systems and ergodic theory (37-XX)
34 Measure and integration (28-XX)
30 Combinatorics (05-XX)
30 Functional analysis (46-XX)
25 Harmonic analysis on Euclidean spaces (42-XX)
24 Computer science (68-XX)
23 Potential theory (31-XX)
20 Global analysis, analysis on manifolds (58-XX)
19 Quantum theory (81-XX)
17 Integral equations (45-XX)
17 Fluid mechanics (76-XX)
15 Real functions (26-XX)
14 Information and communication theory, circuits (94-XX)
10 Number theory (11-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)
6 History and biography (01-XX)
6 Topological groups, Lie groups (22-XX)
6 Convex and discrete geometry (52-XX)
6 Differential geometry (53-XX)
5 Special functions (33-XX)
5 Abstract harmonic analysis (43-XX)
4 Mathematical logic and foundations (03-XX)
4 Functions of a complex variable (30-XX)
4 Geophysics (86-XX)
3 Group theory and generalizations (20-XX)
3 Mechanics of particles and systems (70-XX)
2 General topology (54-XX)
2 Manifolds and cell complexes (57-XX)
1 General and overarching topics; collections (00-XX)
1 Algebraic geometry (14-XX)
1 Several complex variables and analytic spaces (32-XX)
1 Algebraic topology (55-XX)
1 Mechanics of deformable solids (74-XX)
1 Optics, electromagnetic theory (78-XX)
1 Classical thermodynamics, heat transfer (80-XX)

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