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Jacod, Jean

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Author ID: jacod.jean Recent zbMATH articles by "Jacod, Jean"
Published as: Jacod, J.; Jacod, Jean
Homepage: https://www.lpsm.paris//pageperso/jacod/
External Links: MGP · Wikidata · dblp · GND
Documents Indexed: 158 Publications since 1970, including 12 Books
all top 5

Serials

12 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 Finance and Stochastics
3 Journal of Applied Probability
3 Journal of Econometrics
3 The Annals of Applied Probability
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

138 Publications have been cited 5,295 times in 3,282 Documents Cited by Year
Limit theorems for stochastic processes. 2nd ed. Zbl 1018.60002
Jacod, Jean; Shiryaev, Albert N.
918
2003
Limit theorems for stochastic processes. Zbl 0635.60021
Jacod, Jean; Shiryaev, Albert N.
629
1987
Calcul stochastique et problèmes de martingales. Zbl 0414.60053
Jacod, J.
453
1979
Multivariate point processes: Predictable projection, Radon-Nikodym derivatives representation of martingales. Zbl 0302.60032
Jacod, Jean
191
1975
Limit theorems for stochastic processes. Vol. 1-2. Zbl 0830.60025
Jacod, J.; Shiryaev, A. N.
173
1994
Microstructure noise in the continuous case: the pre-averaging approach. Zbl 1166.62078
Jacod, Jean; Li, Yingying; Mykland, Per A.; Podolskij, Mark; Vetter, Mathias
162
2009
Discretization of processes. Zbl 1259.60004
Jacod, Jean; Protter, Philip
131
2012
Asymptotic error distributions for the Euler method for stochastic differential equations. Zbl 0937.60060
Jacod, Jean; Protter, Philip
131
1998
Testing for jumps in a discretely observed process. Zbl 1155.62057
Aït-Sahalia, Yacine; Jacod, Jean
127
2009
Asymptotic properties of realized power variations and related functionals of semimartingales. Zbl 1142.60022
Jacod, Jean
114
2008
Malliavin calculus for processes with jumps. Zbl 0706.60057
Bichteler, Klaus; Gravereaux, Jean-Bernard; Jacod, Jean
111
1987
Estimating the degree of activity of jumps in high frequency data. Zbl 1173.62060
Aït-Sahalia, Yacine; Jacod, Jean
94
2009
On the estimation of the diffusion coefficient for multi-dimensional diffusion processes. Zbl 0770.62070
Genon-Catalot, Valentine; Jacod, Jean
84
1993
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
75
2006
High-frequency financial econometrics. Zbl 1298.91018
Aït-Sahalia, Yacine; Jacod, Jean
64
2014
Diffusions with measurement errors. I: Local asymptotic normality. Zbl 1008.60089
Gloter, Arnaud; Jacod, Jean
61
2001
On continuous conditional Gaussian martingales and stable convergence in law. Zbl 0884.60038
Jacod, Jean
51
1997
Semimartingales and Markov processes. Zbl 0443.60074
Cinlar, E.; Jacod, J.; Protter, P.; Sharpe, M. J.
51
1980
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036
Jacod, J.; Shiryaev, A. N.
49
1998
Diffusions with measurement errors. II: Optimal estimators. Zbl 1009.60065
Gloter, Arnaud; Jacod, Jean
45
2001
Systemes de Levy des processus de Markov. Zbl 0265.60074
Benveniste, Albert; Jacod, Jean
45
1973
Probability essentials. 2nd revised ed. Zbl 1014.60004
Jacod, Jean; Protter, Philip
44
2003
On the range of options prices. Zbl 0889.90020
Eberlein, Ernst; Jacod, Jean
44
1997
The approximate Euler method for Lévy driven stochastic differential equations. Zbl 1071.60046
Jacod, Jean; Kurtz, Thomas G.; Méléard, Sylvie; Protter, Philip
43
2005
Volatility estimators for discretely sampled Lévy processes. Zbl 1114.62109
Aït-Sahalia, Yacine; Jacod, Jean
40
2007
Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil
40
2006
The Euler scheme for Lévy driven stochastic differential equations: limit theorems. Zbl 1054.65008
Jacod, Jean
40
2004
Caractéristiques locales et conditions de continuite absolue pour les semi-martingales. Zbl 0315.60026
Jacod, J.; Memin, J.
40
1976
Grossissement initial, hypothèse (H’) et théorème de Girsanov. Zbl 0568.60049
Jacod, Jean
39
1985
Is Brownian motion necessary to model high-frequency data? Zbl 1327.62118
Aït-Sahalia, Yacine; Jacod, Jean
37
2010
Limit theorems for moving averages of discretized processes plus noise. Zbl 1196.60033
Jacod, Jean; Podolskij, Mark; Vetter, Mathias
37
2010
Processus ponctuels et martingales: Résultats recents sur la modelisation et le filtrage. Zbl 0369.60059
Bremaud, P.; Jacod, J.
36
1977
Quarticity and other functionals of volatility: efficient estimation. Zbl 1292.60033
Jacod, Jean; Rosenbaum, Mathieu
32
2013
Lévy term structure models: no-arbitrage and completeness. Zbl 1065.60086
Eberlein, Ernst; Jacod, Jean; Raible, Sebastian
32
2005
Non-parametric kernel estimation of the coefficient of diffusion. Zbl 0938.62085
Jacod, Jean
32
2000
The Monte-Carlo method for filtering with discrete-time observations. Zbl 0979.62072
Del Moral, Pierre; Jacod, Jean; Protter, Philip
31
2001
Fisher’s information for discretely sampled Lévy processes. Zbl 1144.62070
Aït-Sahalia, Yacine; Jacod, Jean
29
2008
Asymptotic properties of power variations of Lévy processes. Zbl 1185.60031
Jacod, Jean
29
2007
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
Testing for common arrivals of jumps for discretely observed multidimensional processes. Zbl 1168.62075
Jacod, Jean; Todorov, Viktor
28
2009
Do price and volatility jump together? Zbl 1203.62139
Jacod, Jean; Todorov, Viktor
27
2010
Irregular sampling and central limit theorems for power variations: the continuous case. Zbl 1271.62198
Hayashi, Takaki; Jacod, Jean; Yoshida, Nakahiro
26
2011
Statistics and high-frequency data. Zbl 1375.62025
Jacod, Jean
25
2012
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
25
1997
Time reversal on Lévy processes. Zbl 0646.60052
Jacod, Jean; Protter, Philip
25
1988
Sur un type de convergence intermediaire entre la convergence en loi et la convergence en probabilité. Zbl 0458.60016
Jacod, Jean; Memin, Jean
25
1981
Calcul de Malliavin pour les diffusions avec sauts: Existence d’une densité dans le cas unidimensionnel. Zbl 0525.60067
Bichteler, Klaus; Jacod, Jean
24
1983
Testing whether jumps have finite or infinite activity. Zbl 1234.62117
Aït-Sahalia, Yacine; Jacod, Jean
22
2011
A remark on the rates of convergence for integrated volatility estimation in the presence of jumps. Zbl 1305.62036
Jacod, Jean; Reiss, Markus
21
2014
Testing for jumps in noisy high frequency data. Zbl 1443.62325
Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia
21
2012
Théorème de renouvellement et classification pour les chaînes semi- markoviennes. Zbl 0217.50502
Jacod, J.
21
1971
Representation of semimartingale Markov processes in terms of Wiener processes and Poisson random measures. Zbl 0531.60068
Çinlar, E.; Jacod, J.
20
1981
Weak and strong solutions of stochastic differential equations: Existence and stability. Zbl 0471.60066
Jacod, Jean; Memin, Jean
20
1981
Efficient estimation of integrated volatility in presence of infinite variation jumps. Zbl 1305.62146
Jacod, Jean; Todorov, Viktor
19
2014
Un théorème de représentation pour les martingales discontinues. Zbl 0307.60043
Jacod, Jean
19
1976
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
18
2016
On tightness and stopping times. Zbl 0501.60029
Jacod, J.; Memin, J.; Metivier, M.
18
1983
Explicit form and robustness of martingale representations. Zbl 1044.60042
Jacod, Jean; Méléard, Sylvie; Protter, Philip
17
2000
Estimation of the diffusion coefficient for diffusion processes: Random sampling. Zbl 0804.62078
Genon-Catalot, V.; Jacod, J.
17
1994
Local asymptotic normality and mixed normality for Markov statistical models. Zbl 0685.60016
Höpfner, Reinhard; Jacod, Jean; Ladelli, Lucia
17
1990
Mod-Gaussian convergence: new limit theorems in probability and number theory. Zbl 1225.15035
Jacod, Jean; Kowalski, Emmanuel; Nikeghbali, Ashkan
16
2011
Parametric inference for discretely observed non-ergodic diffusions. Zbl 1100.62081
Jacod, Jean
16
2006
Interacting particle filtering with discrete observations. Zbl 1056.93574
Del Moral, Pierre; Jacod, Jean
13
2001
Probability essentials. Zbl 0968.60003
Jacod, Jean; Protter, Philip
13
2000
Rates of convergence to the local time of a diffusion. Zbl 0911.60055
Jacod, Jean
13
1998
Théorèmes limite pour les processus. Zbl 0565.60030
Jacod, J.
13
1985
A general theorem of representation for martingales. Zbl 0362.60068
Jacod, Jean
13
1977
Weak and strong solutions of stochastic differential equations. Zbl 0434.60061
Jacod, Jean
12
1980
Identifying the successive Blumenthal-Getoor indices of a discretely observed process. Zbl 1297.62051
Aït-Sahalia, Yacine; Jacod, Jean
11
2012
Une condition d’existence et d’unicité pour les solutions fortes d’équations différentielles stochastiques. Zbl 0436.60044
Jacod, Jean
11
1980
Jumping Markov processes. Zbl 0841.60066
Jacod, J.; Skorokhod, A. V.
10
1996
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
Existence of weak solutions for stochastic differential equations with driving semimartingales. Zbl 0454.60057
Jacod, Jean; Memin, Jean
10
1981
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.
9
1994
Random measures and stochastic integration. Zbl 0514.60051
Bichteler, K.; Jacod, J.
9
1983
Quelques remarques sur un nouveau type d’équations différentielles stochastiques. Zbl 0482.60056
Jacod, Jean; Protter, Philip
9
1982
Convergence en loi de semimartingales et variation quadratique. Zbl 0458.60037
Jacod, Jean
9
1981
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
7
2013
Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method. Zbl 1314.62095
Jacod, Jean; Mykland, Per A.
6
2015
A remark on stochastic differential equations with Markov solutions. Zbl 0741.60051
Jacod, J.; Protter, P.
6
1991
Partial likelihood process and asymptotic normality. Zbl 0632.62088
Jacod, Jean
6
1987
Projection des fonctionnelles additives et représentation des potentiels d’un processus de Markov. Zbl 0258.60054
Benveniste, Albert; Jacod, Jean
6
1973
Semi-groupes et mesures invariantes pour les processus semi-markoviens à espace d’etat quelconque. Zbl 0254.60065
Jacod, Jean
6
1973
A review of asymptotic theory of estimating functions. Zbl 1450.62101
Jacod, Jean; Sørensen, Michael
5
2018
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. Zbl 0861.60085
Jacod, J.
5
1996
Regularity, partial regularity, partial information process, for a filtered statistical model. Zbl 0677.62001
Jacod, Jean
5
1990
Processus à accroissements independants: Une condition necessaire et suffisante de convergence en loi. Zbl 0526.60065
Jacod, Jean
5
1983
Existence and uniqueness for stochastic differential equations. Zbl 0409.60066
Jacod, Jean
5
1979
Systemes regeneratifs et processus semi-Markoviens. Zbl 0282.60059
Jacod, Jean
5
1974
Statistical properties of microstructure noise. Zbl 1410.62204
Jacod, Jean; Li, Yingying; Zheng, Xinghua
4
2017
Estimation of volatility functionals: the case of a \(\sqrt{n}\) window. Zbl 1401.60078
Jacod, Jean; Rosenbaum, Mathieu
4
2015
Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales. Zbl 1274.60063
Diop, Assane; Jacod, Jean; Todorov, Viktor
4
2013
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
On asymptotic errors in discretization of processes. Zbl 1058.60020
Jacod, J.; Jakubowski, A.; Mémin, J.
4
2003
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
Sur la convergence des semimartingales vers un processus à accroissements independants. Zbl 0433.60034
Jacod, J.; Memin, J.
4
1980
Estimating the integrated volatility with tick observations. Zbl 1452.62771
Jacod, Jean; Li, Yingying; Zheng, Xinghua
3
2019
A review of asymptotic theory of estimating functions. Zbl 1450.62101
Jacod, Jean; Sørensen, Michael
5
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
3
2018
Semimartingale: Itô or not ? Zbl 06814949
Aït-Sahalia, Yacine; Jacod, Jean
1
2018
Statistical properties of microstructure noise. Zbl 1410.62204
Jacod, Jean; Li, Yingying; Zheng, Xinghua
4
2017
Testing for non-correlation between price and volatility jumps. Zbl 1422.91781
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot
3
2017
Options prices in incomplete markets. Zbl 1407.91251
Jacod, Jean; Protter, Philip
1
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
18
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
4
2015
High-frequency financial econometrics. Zbl 1298.91018
Aït-Sahalia, Yacine; Jacod, Jean
64
2014
A remark on the rates of convergence for integrated volatility estimation in the presence of jumps. Zbl 1305.62036
Jacod, Jean; Reiss, Markus
21
2014
Efficient estimation of integrated volatility in presence of infinite variation jumps. Zbl 1305.62146
Jacod, Jean; Todorov, Viktor
19
2014
Quarticity and other functionals of volatility: efficient estimation. Zbl 1292.60033
Jacod, Jean; Rosenbaum, Mathieu
32
2013
A test for the rank of the volatility process: the random perturbation approach. Zbl 1292.62126
Jacod, Jean; Podolskij, Mark
7
2013
Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales. Zbl 1274.60063
Diop, Assane; Jacod, Jean; Todorov, Viktor
4
2013
Discretization of processes. Zbl 1259.60004
Jacod, Jean; Protter, Philip
131
2012
Statistics and high-frequency data. Zbl 1375.62025
Jacod, Jean
25
2012
Testing for jumps in noisy high frequency data. Zbl 1443.62325
Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia
21
2012
Identifying the successive Blumenthal-Getoor indices of a discretely observed process. Zbl 1297.62051
Aït-Sahalia, Yacine; Jacod, Jean
11
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
1
2012
Irregular sampling and central limit theorems for power variations: the continuous case. Zbl 1271.62198
Hayashi, Takaki; Jacod, Jean; Yoshida, Nakahiro
26
2011
Testing whether jumps have finite or infinite activity. Zbl 1234.62117
Aït-Sahalia, Yacine; Jacod, Jean
22
2011
Mod-Gaussian convergence: new limit theorems in probability and number theory. Zbl 1225.15035
Jacod, Jean; Kowalski, Emmanuel; Nikeghbali, Ashkan
16
2011
Is Brownian motion necessary to model high-frequency data? Zbl 1327.62118
Aït-Sahalia, Yacine; Jacod, Jean
37
2010
Limit theorems for moving averages of discretized processes plus noise. Zbl 1196.60033
Jacod, Jean; Podolskij, Mark; Vetter, Mathias
37
2010
Risk-neutral compatibility with option prices. Zbl 1224.91156
Jacod, Jean; Protter, Philip
28
2010
Do price and volatility jump together? Zbl 1203.62139
Jacod, Jean; Todorov, Viktor
27
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
162
2009
Testing for jumps in a discretely observed process. Zbl 1155.62057
Aït-Sahalia, Yacine; Jacod, Jean
127
2009
Estimating the degree of activity of jumps in high frequency data. Zbl 1173.62060
Aït-Sahalia, Yacine; Jacod, Jean
94
2009
Testing for common arrivals of jumps for discretely observed multidimensional processes. Zbl 1168.62075
Jacod, Jean; Todorov, Viktor
28
2009
Asymptotic properties of realized power variations and related functionals of semimartingales. Zbl 1142.60022
Jacod, Jean
114
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
40
2007
Asymptotic properties of power variations of Lévy processes. Zbl 1185.60031
Jacod, Jean
29
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
75
2006
Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil
40
2006
Parametric inference for discretely observed non-ergodic diffusions. Zbl 1100.62081
Jacod, Jean
16
2006
The approximate Euler method for Lévy driven stochastic differential equations. Zbl 1071.60046
Jacod, Jean; Kurtz, Thomas G.; Méléard, Sylvie; Protter, Philip
43
2005
Lévy term structure models: no-arbitrage and completeness. Zbl 1065.60086
Eberlein, Ernst; Jacod, Jean; Raible, Sebastian
32
2005
The Euler scheme for Lévy driven stochastic differential equations: limit theorems. Zbl 1054.65008
Jacod, Jean
40
2004
Limit theorems for stochastic processes. 2nd ed. Zbl 1018.60002
Jacod, Jean; Shiryaev, Albert N.
918
2003
Probability essentials. 2nd revised ed. Zbl 1014.60004
Jacod, Jean; Protter, Philip
44
2003
On asymptotic errors in discretization of processes. Zbl 1058.60020
Jacod, J.; Jakubowski, A.; Mémin, J.
4
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
3
2002
Diffusions with measurement errors. I: Local asymptotic normality. Zbl 1008.60089
Gloter, Arnaud; Jacod, Jean
61
2001
Diffusions with measurement errors. II: Optimal estimators. Zbl 1009.60065
Gloter, Arnaud; Jacod, Jean
45
2001
The Monte-Carlo method for filtering with discrete-time observations. Zbl 0979.62072
Del Moral, Pierre; Jacod, Jean; Protter, Philip
31
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
32
2000
Explicit form and robustness of martingale representations. Zbl 1044.60042
Jacod, Jean; Méléard, Sylvie; Protter, Philip
17
2000
Probability essentials. Zbl 0968.60003
Jacod, Jean; Protter, Philip
13
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
131
1998
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036
Jacod, J.; Shiryaev, A. N.
49
1998
Rates of convergence to the local time of a diffusion. Zbl 0911.60055
Jacod, Jean
13
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
44
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
25
1997
Jumping Markov processes. Zbl 0841.60066
Jacod, J.; Skorokhod, A. V.
10
1996
Quadratic variation of the Brownian motion in the presence of round-off errors. Zbl 0861.60085
Jacod, J.
5
1996
Limit theorems for stochastic processes. Vol. 1-2. Zbl 0830.60025
Jacod, J.; Shiryaev, A. N.
173
1994
Estimation of the diffusion coefficient for diffusion processes: Random sampling. Zbl 0804.62078
Genon-Catalot, V.; Jacod, J.
17
1994
Jumping filtrations and martingales with finite variation. Zbl 0814.60039
Jacod, J.; Skorohod, A. V.
9
1994
On the estimation of the diffusion coefficient for multi-dimensional diffusion processes. Zbl 0770.62070
Genon-Catalot, Valentine; Jacod, Jean
84
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. 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
17
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
2
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. Zbl 0739.62073
Jacod, Jean
3
1989
Time reversal on Lévy processes. Zbl 0646.60052
Jacod, Jean; Protter, Philip
25
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.
629
1987
Malliavin calculus for processes with jumps. Zbl 0706.60057
Bichteler, Klaus; Gravereaux, Jean-Bernard; Jacod, Jean
111
1987
Partial likelihood process and asymptotic normality. Zbl 0632.62088
Jacod, Jean
6
1987
On the convergence of point processes. Zbl 0652.60054
Jacod, Jean
2
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
39
1985
Théorèmes limite pour les processus. Zbl 0565.60030
Jacod, J.
13
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
24
1983
On tightness and stopping times. Zbl 0501.60029
Jacod, J.; Memin, J.; Metivier, M.
18
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
5
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
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
Quelques remarques sur un nouveau type d’équations différentielles stochastiques. Zbl 0482.60056
Jacod, Jean; Protter, Philip
9
1982
Equations différentielles stochastiques linéaires: La méthode de variation des constantes. Zbl 0479.60063
Jacod, Jean
3
1982
Sur un type de convergence intermediaire entre la convergence en loi et la convergence en probabilité. Zbl 0458.60016
Jacod, Jean; Memin, Jean
25
1981
...and 38 more Documents
all top 5

Cited by 3,080 Authors

66 Jacod, Jean
32 Todorov, Viktor
30 Podolskij, Mark
28 Pap, Gyula
25 Mykland, Per Aslak
24 Protter, Philip Elliott
21 Jeanblanc, Monique
20 Aït-Sahalia, Yacine
19 Barczy, Mátyás
19 Figueroa-López, José E.
19 Fournier, Nicolas G.
18 Gloter, Arnaud
18 Yoshida, Nakahiro
17 Kallsen, Jan
17 Liu, Zhi
17 Rosenbaum, Mathieu
17 Russo, Francesco
17 Tauchen, George E.
17 Vetter, Mathias
16 Eberlein, Ernst W.
16 Platen, Eckhard
15 Mikulevicius, Remigijus
15 Reiß, Markus
15 Yasinskij, V. K.
14 Barndorff-Nielsen, Ole Eiler
14 Ceci, Claudia
14 Choulli, Tahir
14 Jarrow, Robert Alan
14 Kohatsu-Higa, Arturo
14 Kong, Xinbing
14 Pham, Huyên
14 Tappe, Stefan
13 Bibinger, Markus
13 Fontana, Claudio
13 Kardaras, Constantinos
13 Kebaier, Ahmed
13 Kohlmann, Michael
13 Méléard, Sylvie
13 Mémin, Jean
13 Schweizer, Martin
13 Spreij, Peter
13 Tankov, Peter
13 Xiong, Dewen
12 Chen, Zhen-Qing
12 Criens, David
12 Höpfner, Reinhard
12 Kabanov, Yuriĭ Mikhaĭlovich
12 Kyprianou, Andreas E.
12 Mikulyavichyus, R. A.
12 Pagès, Gilles
12 Papapantoleon, Antonis
12 Puhalskii, Anatolii A.
12 Rásonyi, Miklós
12 Ruf, Johannes
12 Yor, Marc
11 Fukasawa, Masaaki
11 Schmidt, Thorsten
11 Shimizu, Yasutaka
11 Siu, Tak Kuen
11 Uchida, Masayuki
11 Wefelmeyer, Wolfgang
11 Zhang, Lan
10 Fuhrman, Marco
10 Grigelionis, Bronius I.
10 Jing, Bingyi
10 Klüppelberg, Claudia
10 Mancini, Cecilia
10 Masuda, Hiroki
10 Muhle-Karbe, Johannes
10 Nutz, Marcel
10 Xiu, Dacheng
10 Zhang, Yi
9 Bandini, Elena
9 Clement, Emmanuelle
9 Cont, Rama
9 Cosso, Andrea
9 Elliott, Robert James
9 Engelbert, Hans Jürgen
9 Gerardi, Anna
9 Hoffmann, Marc R.
9 Imkeller, Peter
9 Kim, Donggyu
9 Koike, Yuta
9 Kortchemski, Igor
9 Li, Yingying
9 Mania, Michael
9 Nishiyama, Yoichi
9 Pergamenshchikov, Sergeĭ Markovich
9 Pistorius, Martijn R.
9 Samoilenko, Igor V.
9 Shiryaev, Al’bert Nikolaevich
9 Słomiński, Leszek
9 Song, Shiqi
9 Wang, Yazhen
9 Zheng, Xinghua
8 Andersen, Torben G.
8 Behme, Anita Diana
8 Bollerslev, Tim
8 Chong, Carsten
8 Christensen, Kim
...and 2,980 more Authors
all top 5

Cited in 331 Serials

460 Stochastic Processes and their Applications
148 The Annals of Applied Probability
134 Journal of Econometrics
98 Finance and Stochastics
90 The Annals of Probability
82 Statistics & Probability Letters
75 Probability Theory and Related Fields
75 Bernoulli
67 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
67 Stochastic Analysis and Applications
59 The Annals of Statistics
55 Journal of Theoretical Probability
52 Journal of Applied Probability
51 Mathematical Finance
48 Quantitative Finance
47 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
43 Statistical Inference for Stochastic Processes
38 Lithuanian Mathematical Journal
38 Journal of Statistical Planning and Inference
37 Advances in Applied Probability
37 Insurance Mathematics & Economics
35 International Journal of Theoretical and Applied Finance
34 Electronic Journal of Statistics
32 Journal of Functional Analysis
28 Applied Mathematics and Optimization
26 Applied Mathematical Finance
26 Econometric Theory
25 Journal of Multivariate Analysis
25 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
25 Stochastics
25 SIAM Journal on Financial Mathematics
24 Stochastics
23 Journal of Mathematical Analysis and Applications
23 SIAM Journal on Control and Optimization
23 Mathematics and Financial Economics
21 Cybernetics and Systems Analysis
18 Journal of Statistical Physics
18 Theory of Probability and its Applications
18 Annals of the Institute of Statistical Mathematics
18 Queueing Systems
18 Potential Analysis
17 Scandinavian Journal of Statistics
17 Electronic Journal of Probability
16 Transactions of the American Mathematical Society
15 Journal of Computational and Applied Mathematics
15 Journal of Mathematical Economics
15 Journal of Economic Dynamics & Control
15 Annals of Finance
14 Annales de l’Institut Henri Poincaré. Nouvelle Série. Section B. Calcul des Probabilités et Statistique
13 Acta Applicandae Mathematicae
13 Statistics
13 Journal of Nonparametric Statistics
13 Asia-Pacific Financial Markets
12 Computational Statistics and Data Analysis
12 Stochastics and Dynamics
11 Communications in Statistics. Theory and Methods
11 Journal of Mathematical Sciences (New York)
11 Modern Stochastics. Theory and Applications
10 Communications in Mathematical Physics
10 Decisions in Economics and Finance
10 Stochastic Models
9 Journal of Mathematical Biology
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
8 Proceedings of the American Mathematical Society
8 Acta Mathematicae Applicatae Sinica. English Series
8 Theory of Probability and Mathematical Statistics
8 International Journal of Stochastic Analysis
7 Journal of the American Statistical Association
7 Mathematische Nachrichten
7 Systems & Control Letters
7 Journal of Time Series Analysis
7 European Journal of Operational Research
7 Electronic Communications in Probability
7 Acta Mathematica Sinica. English Series
7 Scandinavian Actuarial Journal
7 Journal of the Korean Statistical Society
7 ALEA. Latin American Journal of Probability and Mathematical Statistics
7 Science China. Mathematics
6 Mathematical Notes
6 Ukrainian Mathematical Journal
6 Chaos, Solitons and Fractals
6 Journal of Differential Equations
6 Mathematics of Operations Research
6 Operations Research Letters
6 Economics Letters
6 Communications in Statistics. Simulation and Computation
6 Journal of Probability and Statistics
6 Stochastic and Partial Differential Equations. Analysis and Computations
5 Computers & Mathematics with Applications
5 Mathematical Biosciences
5 Kybernetika
5 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
5 Scandinavian Actuarial Journal
5 Tohoku Mathematical Journal. Second Series
5 Sequential Analysis
5 MCSS. Mathematics of Control, Signals, and Systems
5 Journal of Applied Mathematics and Stochastic Analysis
...and 231 more Serials
all top 5

Cited in 51 Fields

2,616 Probability theory and stochastic processes (60-XX)
979 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
951 Statistics (62-XX)
262 Systems theory; control (93-XX)
203 Numerical analysis (65-XX)
149 Partial differential equations (35-XX)
117 Operations research, mathematical programming (90-XX)
96 Calculus of variations and optimal control; optimization (49-XX)
77 Statistical mechanics, structure of matter (82-XX)
63 Biology and other natural sciences (92-XX)
62 Ordinary differential equations (34-XX)
38 Operator theory (47-XX)
32 Measure and integration (28-XX)
32 Dynamical systems and ergodic theory (37-XX)
28 Combinatorics (05-XX)
25 Functional analysis (46-XX)
21 Potential theory (31-XX)
21 Computer science (68-XX)
19 Harmonic analysis on Euclidean spaces (42-XX)
18 Integral equations (45-XX)
18 Global analysis, analysis on manifolds (58-XX)
18 Quantum theory (81-XX)
15 Real functions (26-XX)
14 Fluid mechanics (76-XX)
12 Information and communication theory, circuits (94-XX)
9 Linear and multilinear algebra; matrix theory (15-XX)
8 Approximations and expansions (41-XX)
7 Number theory (11-XX)
7 Difference and functional equations (39-XX)
6 Mathematical logic and foundations (03-XX)
5 History and biography (01-XX)
5 Abstract harmonic analysis (43-XX)
4 Special functions (33-XX)
4 Integral transforms, operational calculus (44-XX)
4 Convex and discrete geometry (52-XX)
4 Differential geometry (53-XX)
3 Group theory and generalizations (20-XX)
3 Topological groups, Lie groups (22-XX)
3 Functions of a complex variable (30-XX)
3 Mechanics of particles and systems (70-XX)
3 Geophysics (86-XX)
2 General topology (54-XX)
1 General and overarching topics; collections (00-XX)
1 Algebraic geometry (14-XX)
1 Several complex variables and analytic spaces (32-XX)
1 Sequences, series, summability (40-XX)
1
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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