×
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
Videos: carmin.tv
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 The Annals of Applied 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 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

145 Publications have been cited 7,335 times in 4,596 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.
735
1987
Calcul stochastique et problèmes de martingales. Zbl 0414.60053
Jacod, J.
556
1979
Microstructure noise in the continuous case: the pre-averaging approach. Zbl 1166.62078
Jacod, Jean; Li, Yingying; Mykland, Per A.; Podolskij, Mark; Vetter, Mathias
246
2009
Multivariate point processes: Predictable projection, Radon-Nikodym derivatives representation of martingales. Zbl 0302.60032
Jacod, Jean
236
1975
Discretization of processes. Zbl 1259.60004
Jacod, Jean; Protter, Philip
225
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.
185
1994
Testing for jumps in a discretely observed process. Zbl 1155.62057
Aït-Sahalia, Yacine; Jacod, Jean
182
2009
Asymptotic error distributions for the Euler method for stochastic differential equations. Zbl 0937.60060
Jacod, Jean; Protter, Philip
162
1998
High-frequency financial econometrics. Zbl 1298.91018
Aït-Sahalia, Yacine; Jacod, Jean
157
2014
Asymptotic properties of realized power variations and related functionals of semimartingales. Zbl 1142.60022
Jacod, Jean
149
2008
Malliavin calculus for processes with jumps. Zbl 0706.60057
Bichteler, Klaus; Gravereaux, Jean-Bernard; Jacod, Jean
139
1987
On the estimation of the diffusion coefficient for multi-dimensional diffusion processes. Zbl 0770.62070
Genon-Catalot, Valentine; Jacod, Jean
128
1993
Estimating the degree of activity of jumps in high frequency data. Zbl 1173.62060
Aït-Sahalia, Yacine; Jacod, Jean
117
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
103
2006
On continuous conditional Gaussian martingales and stable convergence in law. Zbl 0884.60038
Jacod, Jean
74
1997
Probability essentials. 2nd revised ed. Zbl 1014.60004
Jacod, Jean; Protter, Philip
71
2003
Grossissement initial, hypothèse (H’) et théorème de Girsanov. Zbl 0568.60049
Jacod, Jean
71
1985
Diffusions with measurement errors. I: Local asymptotic normality. Zbl 1008.60089
Gloter, Arnaud; Jacod, Jean
70
2001
Semimartingales and Markov processes. Zbl 0443.60074
Cinlar, E.; Jacod, J.; Protter, P.; Sharpe, M. J.
69
1980
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036
Jacod, J.; Shiryaev, A. N.
66
1998
Quarticity and other functionals of volatility: efficient estimation. Zbl 1292.60033
Jacod, Jean; Rosenbaum, Mathieu
62
2013
Diffusions with measurement errors. II: Optimal estimators. Zbl 1009.60065
Gloter, Arnaud; Jacod, Jean
53
2001
The approximate Euler method for Lévy driven stochastic differential equations. Zbl 1071.60046
Jacod, Jean; Kurtz, Thomas G.; Méléard, Sylvie; Protter, Philip
53
2005
Systemes de Levy des processus de Markov. Zbl 0265.60074
Benveniste, Albert; Jacod, Jean
52
1973
The Euler scheme for Lévy driven stochastic differential equations: limit theorems. Zbl 1054.65008
Jacod, Jean
51
2004
Limit theorems for moving averages of discretized processes plus noise. Zbl 1196.60033
Jacod, Jean; Podolskij, Mark; Vetter, Mathias
51
2010
Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil
50
2006
Volatility estimators for discretely sampled Lévy processes. Zbl 1114.62109
Aït-Sahalia, Yacine; Jacod, Jean
50
2007
On the range of options prices. Zbl 0889.90020
Eberlein, Ernst; Jacod, Jean
49
1997
Is Brownian motion necessary to model high-frequency data? Zbl 1327.62118
Aït-Sahalia, Yacine; Jacod, Jean
45
2010
Testing for jumps in noisy high frequency data. Zbl 1443.62325
Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia
45
2012
Caractéristiques locales et conditions de continuite absolue pour les semi-martingales. Zbl 0315.60026
Jacod, J.; Memin, J.
45
1976
Do price and volatility jump together? Zbl 1203.62139
Jacod, Jean; Todorov, Viktor
45
2010
Statistics and high-frequency data. Zbl 1375.62025
Jacod, Jean
44
2012
Non-parametric kernel estimation of the coefficient of diffusion. Zbl 0938.62085
Jacod, Jean
42
2000
Sur un type de convergence intermediaire entre la convergence en loi et la convergence en probabilité. Zbl 0458.60016
Jacod, Jean; Memin, Jean
42
1981
Testing for common arrivals of jumps for discretely observed multidimensional processes. Zbl 1168.62075
Jacod, Jean; Todorov, Viktor
42
2009
The Monte-Carlo method for filtering with discrete-time observations. Zbl 0979.62072
Del Moral, Pierre; Jacod, Jean; Protter, Philip
41
2001
Asymptotic properties of power variations of Lévy processes. Zbl 1185.60031
Jacod, Jean
39
2007
Processus ponctuels et martingales: Résultats recents sur la modelisation et le filtrage. Zbl 0369.60059
Bremaud, P.; Jacod, J.
39
1977
Lévy term structure models: no-arbitrage and completeness. Zbl 1065.60086
Eberlein, Ernst; Jacod, Jean; Raible, Sebastian
38
2005
Risk-neutral compatibility with option prices. Zbl 1224.91156
Jacod, Jean; Protter, Philip
38
2010
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
37
1997
Efficient estimation of integrated volatility in presence of infinite variation jumps. Zbl 1305.62146
Jacod, Jean; Todorov, Viktor
37
2014
Time reversal on Lévy processes. Zbl 0646.60052
Jacod, Jean; Protter, Philip
36
1988
Étude des solutions extremales et représentation intégrale des solutions pour certains problèmes de martingales. Zbl 0346.60032
Jacod, Jean; Yor, Marc
34
1977
Irregular sampling and central limit theorems for power variations: the continuous case. Zbl 1271.62198
Hayashi, Takaki; Jacod, Jean; Yoshida, Nakahiro
34
2011
Fisher’s information for discretely sampled Lévy processes. Zbl 1144.62070
Aït-Sahalia, Yacine; Jacod, Jean
33
2008
Representation of semimartingale Markov processes in terms of Wiener processes and Poisson random measures. Zbl 0531.60068
Çinlar, E.; Jacod, J.
32
1981
Calcul de Malliavin pour les diffusions avec sauts: Existence d’une densité dans le cas unidimensionnel. Zbl 0525.60067
Bichteler, Klaus; Jacod, Jean
32
1983
Testing whether jumps have finite or infinite activity. Zbl 1234.62117
Aït-Sahalia, Yacine; Jacod, Jean
31
2011
Weak and strong solutions of stochastic differential equations: Existence and stability. Zbl 0471.60066
Jacod, Jean; Memin, Jean
31
1981
Statistical properties of microstructure noise. Zbl 1410.62204
Jacod, Jean; Li, Yingying; Zheng, Xinghua
29
2017
A remark on the rates of convergence for integrated volatility estimation in the presence of jumps. Zbl 1305.62036
Jacod, Jean; Reiss, Markus
29
2014
Mod-Gaussian convergence: new limit theorems in probability and number theory. Zbl 1225.15035
Jacod, Jean; Kowalski, Emmanuel; Nikeghbali, Ashkan
28
2011
Probability essentials. Zbl 0968.60003
Jacod, Jean; Protter, Philip
28
2000
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
27
2016
Rates of convergence to the local time of a diffusion. Zbl 0911.60055
Jacod, Jean
24
1998
Weak and strong solutions of stochastic differential equations. Zbl 0434.60061
Jacod, Jean
24
1980
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
23
2006
Estimation of the diffusion coefficient for diffusion processes: Random sampling. Zbl 0804.62078
Genon-Catalot, V.; Jacod, J.
22
1994
Un théorème de représentation pour les martingales discontinues. Zbl 0307.60043
Jacod, Jean
21
1976
Explicit form and robustness of martingale representations. Zbl 1044.60042
Jacod, Jean; Méléard, Sylvie; Protter, Philip
21
2000
Théorèmes limite pour les processus. Zbl 0565.60030
Jacod, J.
21
1985
On tightness and stopping times. Zbl 0501.60029
Jacod, J.; Memin, J.; Metivier, M.
20
1983
Local asymptotic normality and mixed normality for Markov statistical models. Zbl 0685.60016
Höpfner, Reinhard; Jacod, Jean; Ladelli, Lucia
19
1990
A general theorem of representation for martingales. Zbl 0362.60068
Jacod, Jean
18
1977
A test for the rank of the volatility process: the random perturbation approach. Zbl 1292.62126
Jacod, Jean; Podolskij, Mark
18
2013
Jumping Markov processes. Zbl 0841.60066
Jacod, J.; Skorokhod, A. V.
17
1996
Existence of weak solutions for stochastic differential equations with driving semimartingales. Zbl 0454.60057
Jacod, Jean; Memin, Jean
17
1981
Jumping filtrations and martingales with finite variation. Zbl 0814.60039
Jacod, J.; Skorohod, A. V.
16
1994
Random measures and stochastic integration. Zbl 0514.60051
Bichteler, K.; Jacod, J.
16
1983
Identifying the successive Blumenthal-Getoor indices of a discretely observed process. Zbl 1297.62051
Aït-Sahalia, Yacine; Jacod, Jean
15
2012
Intégrales stochastiques par rapport à une semimartingale vectorielle et changements de filtration. Zbl 0429.60054
Jacod, Jean
15
1980
Estimating the integrated volatility with tick observations. Zbl 1452.62771
Jacod, Jean; Li, Yingying; Zheng, Xinghua
14
2019
Interacting particle filtering with discrete observations. Zbl 1056.93574
Del Moral, Pierre; Jacod, Jean
14
2001
Une condition d’existence et d’unicité pour les solutions fortes d’équations différentielles stochastiques. Zbl 0436.60044
Jacod, Jean
14
1980
A review of asymptotic theory of estimating functions. Zbl 1450.62101
Jacod, Jean; Sørensen, Michael
13
2018
Convergence en loi de semimartingales et variation quadratique. Zbl 0458.60037
Jacod, Jean
12
1981
Quelques remarques sur un nouveau type d’équations différentielles stochastiques. Zbl 0482.60056
Jacod, Jean; Protter, Philip
12
1982
Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method. Zbl 1314.62095
Jacod, Jean; Mykland, Per A.
11
2015
Estimation of volatility functionals: the case of a \(\sqrt{n}\) window. Zbl 1401.60078
Jacod, Jean; Rosenbaum, Mathieu
11
2015
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
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
Grossissements de filtration et processus d’Ornstein-Uhlenbeck généralisé. Zbl 0575.60057
Jacod, Jean
8
1985
Estimation of the Brownian dimension of a continuous Itô process. Zbl 1155.62059
Jacod, Jean; Lejay, Antoine; Talay, Denis
8
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.
7
1996
The Monte-Carlo method for filtering with discrete-time observations: central limit theorems. Zbl 1111.60302
Del Moral, Pierre; Jacod, Jean
7
2002
Systemes regeneratifs et processus semi-Markoviens. Zbl 0282.60059
Jacod, Jean
7
1974
Equations différentielles stochastiques linéaires: La méthode de variation des constantes. Zbl 0479.60063
Jacod, Jean
7
1982
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
Partial likelihood process and asymptotic normality. Zbl 0632.62088
Jacod, Jean
6
1987
Efficient estimation of integrated volatility in presence of infinite variation jumps with multiple activity indices. Zbl 1354.60019
Jacod, Jean; Todorov, Viktor
6
2016
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
Central limit theorems for approximate quadratic variations of pure jump Itô semimartingales. Zbl 1274.60063
Diop, Assane; Jacod, Jean; Todorov, Viktor
6
2013
Systematic jump risk. Zbl 1548.60057
Jacod, Jean; Lin, Huidi; Todorov, Viktor
1
2024
Volatility coupling. Zbl 1478.60106
Jacod, Jean; Li, Jia; Liao, Zhipeng
1
2021
From tick data to semimartingales. Zbl 1476.62218
Aït-Sahalia, Yacine; Jacod, Jean
1
2020
Estimating the integrated volatility with tick observations. Zbl 1452.62771
Jacod, Jean; Li, Yingying; Zheng, Xinghua
14
2019
Estimation of volatility in a high-frequency setting: a short review. Zbl 1432.91111
Jacod, Jean
4
2019
A review of asymptotic theory of estimating functions. Zbl 1450.62101
Jacod, Jean; Sørensen, Michael
13
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
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
29
2017
Testing for non-correlation between price and volatility jumps. Zbl 1422.91781
Jacod, Jean; Klüppelberg, Claudia; Müller, Gernot
6
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
27
2016
Efficient estimation of integrated volatility in presence of infinite variation jumps with multiple activity indices. Zbl 1354.60019
Jacod, Jean; Todorov, Viktor
6
2016
Microstructure noise in the continuous case: approximate efficiency of the adaptive pre-averaging method. Zbl 1314.62095
Jacod, Jean; Mykland, Per A.
11
2015
Estimation of volatility functionals: the case of a \(\sqrt{n}\) window. Zbl 1401.60078
Jacod, Jean; Rosenbaum, Mathieu
11
2015
High-frequency financial econometrics. Zbl 1298.91018
Aït-Sahalia, Yacine; Jacod, Jean
157
2014
Efficient estimation of integrated volatility in presence of infinite variation jumps. Zbl 1305.62146
Jacod, Jean; Todorov, Viktor
37
2014
A remark on the rates of convergence for integrated volatility estimation in the presence of jumps. Zbl 1305.62036
Jacod, Jean; Reiss, Markus
29
2014
Quarticity and other functionals of volatility: efficient estimation. Zbl 1292.60033
Jacod, Jean; Rosenbaum, Mathieu
62
2013
A test for the rank of the volatility process: the random perturbation approach. Zbl 1292.62126
Jacod, Jean; Podolskij, Mark
18
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
225
2012
Testing for jumps in noisy high frequency data. Zbl 1443.62325
Aït-Sahalia, Yacine; Jacod, Jean; Li, Jia
45
2012
Statistics and high-frequency data. Zbl 1375.62025
Jacod, Jean
44
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
34
2011
Testing whether jumps have finite or infinite activity. Zbl 1234.62117
Aït-Sahalia, Yacine; Jacod, Jean
31
2011
Mod-Gaussian convergence: new limit theorems in probability and number theory. Zbl 1225.15035
Jacod, Jean; Kowalski, Emmanuel; Nikeghbali, Ashkan
28
2011
Limit theorems for moving averages of discretized processes plus noise. Zbl 1196.60033
Jacod, Jean; Podolskij, Mark; Vetter, Mathias
51
2010
Is Brownian motion necessary to model high-frequency data? Zbl 1327.62118
Aït-Sahalia, Yacine; Jacod, Jean
45
2010
Do price and volatility jump together? Zbl 1203.62139
Jacod, Jean; Todorov, Viktor
45
2010
Risk-neutral compatibility with option prices. Zbl 1224.91156
Jacod, Jean; Protter, Philip
38
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
246
2009
Testing for jumps in a discretely observed process. Zbl 1155.62057
Aït-Sahalia, Yacine; Jacod, Jean
182
2009
Estimating the degree of activity of jumps in high frequency data. Zbl 1173.62060
Aït-Sahalia, Yacine; Jacod, Jean
117
2009
Testing for common arrivals of jumps for discretely observed multidimensional processes. Zbl 1168.62075
Jacod, Jean; Todorov, Viktor
42
2009
Asymptotic properties of realized power variations and related functionals of semimartingales. Zbl 1142.60022
Jacod, Jean
149
2008
Fisher’s information for discretely sampled Lévy processes. Zbl 1144.62070
Aït-Sahalia, Yacine; Jacod, Jean
33
2008
Estimation of the Brownian dimension of a continuous Itô process. Zbl 1155.62059
Jacod, Jean; Lejay, Antoine; Talay, Denis
8
2008
Volatility estimators for discretely sampled Lévy processes. Zbl 1114.62109
Aït-Sahalia, Yacine; Jacod, Jean
50
2007
Asymptotic properties of power variations of Lévy processes. Zbl 1185.60031
Jacod, Jean
39
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
103
2006
Limit theorems for bipower variation in financial econometrics. Zbl 1125.62114
Barndorff-Nielsen, Ole E.; Graversen, Svend Erik; Jacod, Jean; Shephard, Neil
50
2006
Parametric inference for discretely observed non-ergodic diffusions. Zbl 1100.62081
Jacod, Jean
23
2006
The approximate Euler method for Lévy driven stochastic differential equations. Zbl 1071.60046
Jacod, Jean; Kurtz, Thomas G.; Méléard, Sylvie; Protter, Philip
53
2005
Lévy term structure models: no-arbitrage and completeness. Zbl 1065.60086
Eberlein, Ernst; Jacod, Jean; Raible, Sebastian
38
2005
The Euler scheme for Lévy driven stochastic differential equations: limit theorems. Zbl 1054.65008
Jacod, Jean
51
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
71
2003
On asymptotic errors in discretization of processes. Zbl 1058.60020
Jacod, J.; Jakubowski, A.; Mémin, J.
8
2003
Probability essentials. Translated from the 2003 English original. (L’essentiel en théorie de probabilités. Traduit de 2003 l’anglais original.) Zbl 1105.60001
Jacod, Jean; Protter, Philip
2
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
7
2002
Diffusions with measurement errors. I: Local asymptotic normality. Zbl 1008.60089
Gloter, Arnaud; Jacod, Jean
70
2001
Diffusions with measurement errors. II: Optimal estimators. Zbl 1009.60065
Gloter, Arnaud; Jacod, Jean
53
2001
The Monte-Carlo method for filtering with discrete-time observations. Zbl 0979.62072
Del Moral, Pierre; Jacod, Jean; Protter, Philip
41
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
42
2000
Probability essentials. Zbl 0968.60003
Jacod, Jean; Protter, Philip
28
2000
Explicit form and robustness of martingale representations. Zbl 1044.60042
Jacod, Jean; Méléard, Sylvie; Protter, Philip
21
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
162
1998
Local martingales and the fundamental asset pricing theorems in the discrete-time case. Zbl 0903.60036
Jacod, J.; Shiryaev, A. N.
66
1998
Rates of convergence to the local time of a diffusion. Zbl 0911.60055
Jacod, Jean
24
1998
On continuous conditional Gaussian martingales and stable convergence in law. Zbl 0884.60038
Jacod, Jean
74
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
37
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.
7
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.
185
1994
Estimation of the diffusion coefficient for diffusion processes: Random sampling. Zbl 0804.62078
Genon-Catalot, V.; Jacod, J.
22
1994
Jumping filtrations and martingales with finite variation. Zbl 0814.60039
Jacod, J.; Skorohod, A. V.
16
1994
On the estimation of the diffusion coefficient for multi-dimensional diffusion processes. Zbl 0770.62070
Genon-Catalot, Valentine; Jacod, Jean
128
1993
Random sampling in estimation problems for continuous Gaussian processes with independent increments. Zbl 0806.62065
Jacod, J.
4
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 des surmartingales - application aux vraisemblances partielles. (Convergence of supermartingales - application to partial likelihoods). Zbl 0703.60028
Coquet, François; Jacod, Jean
1
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
4
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
36
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.
735
1987
Malliavin calculus for processes with jumps. Zbl 0706.60057
Bichteler, Klaus; Gravereaux, Jean-Bernard; Jacod, Jean
139
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
71
1985
Théorèmes limite pour les processus. Zbl 0565.60030
Jacod, J.
21
1985
Grossissements de filtration et processus d’Ornstein-Uhlenbeck généralisé. Zbl 0575.60057
Jacod, Jean
8
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
32
1983
On tightness and stopping times. Zbl 0501.60029
Jacod, J.; Memin, J.; Metivier, M.
20
1983
...and 45 more Documents
all top 5

Cited by 4,226 Authors

70 Jacod, Jean
48 Todorov, Viktor
43 Podolskij, Mark
33 Pap, Gyula
31 Mykland, Per Aslak
30 Jeanblanc, Monique
30 Mikulevicius, Remigijus
28 Protter, Philip Elliott
27 Yoshida, Nakahiro
25 Barczy, Mátyás
25 Criens, David
24 Figueroa-López, José E.
24 Li, Jia
23 Gloter, Arnaud
23 Liu, Zhi
23 Rosenbaum, Mathieu
23 Russo, Francesco
22 Aït-Sahalia, Yacine
22 Uchida, Masayuki
21 Eberlein, Ernst W.
21 Fournier, Nicolas
21 Kohatsu-Higa, Arturo
21 Tauchen, George E.
21 Vetter, Mathias
20 Fukasawa, Masaaki
19 Choulli, Tahir
19 Platen, Eckhard
18 Reiß, Markus
18 Ruf, Johannes
18 Tappe, Stefan
17 Fontana, Claudio
17 Jarrow, Robert Alan
17 Kallsen, Jan
17 Kong, Xinbing
17 Shimizu, Yasutaka
16 Barndorff-Nielsen, Ole Eiler
16 Bibinger, Markus
16 Ceci, Claudia
16 Kim, Donggyu
16 Tankov, Peter
15 Andersen, Torben G.
15 Kebaier, Ahmed
15 Masuda, Hiroki
15 Ouknine, Youssef
15 Papapantoleon, Antonis
15 Pham, Huyên
15 Possamaï, Dylan
15 Schmidt, Thorsten
15 Zhang, Lan
14 Hoffmann, Marc
14 Kabanov, Yuriĭ Mikhaĭlovich
14 Kyprianou, Andreas E.
14 Mania, Michael
14 Méléard, Sylvie
14 Puhalskii, Anatolii A.
14 Tan, Xiaolu
14 Wang, Yazhen
13 Bandini, Elena
13 Bollerslev, Tim
13 Chen, Zhen-Qing
13 Dufour, François
13 Höpfner, Reinhard
13 Kardaras, Constantinos
13 Kohlmann, Michael
13 Li, Yingying
13 Löcherbach, Eva
13 Mémin, Jean
13 Rásonyi, Miklós
13 Schweizer, Martin
13 Shiryaev, Al’bert Nikolaevich
13 Siu, Tak Kuen
13 Słomiński, Leszek
13 Song, Yuping
13 Veraart, Almut E. D.
13 Xiong, Dewen
13 Yor, Marc
13 Zhang, Xicheng
12 Christensen, Kim
12 Filipović, Damir
12 Jing, Bingyi
12 Kubilius, Kȩstutis
12 Larsson, Martin
12 Limnios, Nikolaos
12 Liu, Guangying
12 Muhle-Karbe, Johannes
12 Nutz, Marcel
12 Pagès, Gilles
12 Privault, Nicolas
12 Schilling, René Leander
12 Xiu, Dacheng
11 Bally, Vlad
11 Bayraktar, Erhan
11 Biagini, Francesca
11 Bielecki, Tomasz R.
11 Clement, Emmanuelle
11 Corcuera, José Manuel
11 Elliott, Robert James
11 Engelbert, Hans-Jürgen
11 Gapeev, Pavel V.
11 Grigelionis, Bronius I.
...and 4,126 more Authors
all top 5

Cited in 432 Serials

547 Stochastic Processes and their Applications
191 The Annals of Applied Probability
171 Journal of Econometrics
121 Finance and Stochastics
101 Bernoulli
99 Statistics & Probability Letters
97 The Annals of Probability
90 Probability Theory and Related Fields
87 Mathematical Finance
83 Journal of Theoretical Probability
73 Stochastic Analysis and Applications
70 Electronic Journal of Probability
68 The Annals of Statistics
67 Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete
67 Statistical Inference for Stochastic Processes
66 Quantitative Finance
63 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
62 Journal of Applied Probability
51 Stochastics
49 Advances in Applied Probability
49 International Journal of Theoretical and Applied Finance
47 Journal of Statistical Planning and Inference
47 Electronic Journal of Statistics
44 Insurance Mathematics & Economics
41 Lithuanian Mathematical Journal
40 Journal of Mathematical Analysis and Applications
40 Applied Mathematics and Optimization
40 SIAM Journal on Financial Mathematics
37 Journal of Functional Analysis
34 Scandinavian Journal of Statistics
33 SIAM Journal on Control and Optimization
33 Applied Mathematical Finance
33 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
33 Econometric Theory
31 Theory of Probability and its Applications
30 Journal of Multivariate Analysis
29 Mathematics and Financial Economics
28 Journal of Statistical Physics
26 Annals of the Institute of Statistical Mathematics
24 Stochastics
23 Communications in Statistics. Theory and Methods
23 Stochastics and Dynamics
22 Cybernetics and Systems Analysis
22 Potential Analysis
22 ALEA. Latin American Journal of Probability and Mathematical Statistics
22 Journal of Business and Economic Statistics
21 Journal of Time Series Analysis
21 Queueing Systems
18 Journal of Computational and Applied Mathematics
18 Transactions of the American Mathematical Society
18 Journal of Nonparametric Statistics
17 Journal of Economic Dynamics & Control
17 Decisions in Economics and Finance
16 Communications in Mathematical Physics
16 Statistics
16 Electronic Communications in Probability
16 Stochastic Models
15 European Journal of Operational Research
15 Annals of Finance
14 Econometrica
14 Journal of Mathematical Economics
14 Asia-Pacific Financial Markets
14 Stochastic and Partial Differential Equations. Analysis and Computations
13 Acta Applicandae Mathematicae
13 Annales de l’Institut Henri Poincaré. Nouvelle Série. Section B. Calcul des Probabilités et Statistique
13 Computational Statistics and Data Analysis
13 Methodology and Computing in Applied Probability
13 Scandinavian Actuarial Journal
13 Modern Stochastics. Theory and Applications
12 Mathematics of Operations Research
12 Annals of Operations Research
12 Communications in Statistics. Simulation and Computation
12 Journal of Mathematical Sciences (New York)
11 Journal of Mathematical Biology
11 Physica A
11 Econometric Reviews
11 Theory of Probability and Mathematical Statistics
11 Japanese Journal of Statistics and Data Science
11 Frontiers of Mathematical Finance
10 Journal of the American Statistical Association
10 Systems & Control Letters
10 Acta Mathematicae Applicatae Sinica. English Series
10 Monte Carlo Methods and Applications
10 Probability in the Engineering and Informational Sciences
10 Probability, Uncertainty and Quantitative Risk
9 Metrika
9 Ukrainian Mathematical Journal
9 Mathematische Nachrichten
9 Stochastics and Stochastics Reports
9 Mathematical Methods of Operations Research
9 Studies in Nonlinear Dynamics and Econometrics
9 Review of Derivatives Research
9 Science China. Mathematics
8 Fuzzy Sets and Systems
8 Journal of Differential Equations
8 Journal of Optimization Theory and Applications
8 Proceedings of the American Mathematical Society
8 Random Operators and Stochastic Equations
8 NoDEA. Nonlinear Differential Equations and Applications
8 Acta Mathematica Sinica. English Series
...and 332 more Serials
all top 5

Cited in 51 Fields

3,545 Probability theory and stochastic processes (60-XX)
1,342 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
1,337 Statistics (62-XX)
361 Systems theory; control (93-XX)
284 Numerical analysis (65-XX)
259 Partial differential equations (35-XX)
160 Operations research, mathematical programming (90-XX)
127 Calculus of variations and optimal control; optimization (49-XX)
119 Statistical mechanics, structure of matter (82-XX)
110 Biology and other natural sciences (92-XX)
70 Ordinary differential equations (34-XX)
63 Operator theory (47-XX)
50 Combinatorics (05-XX)
50 Dynamical systems and ergodic theory (37-XX)
47 Measure and integration (28-XX)
38 Computer science (68-XX)
36 Functional analysis (46-XX)
33 Harmonic analysis on Euclidean spaces (42-XX)
30 Integral equations (45-XX)
27 Fluid mechanics (76-XX)
26 Potential theory (31-XX)
25 Quantum theory (81-XX)
22 Real functions (26-XX)
21 Global analysis, analysis on manifolds (58-XX)
18 Information and communication theory, circuits (94-XX)
17 Number theory (11-XX)
12 Linear and multilinear algebra; matrix theory (15-XX)
11 Difference and functional equations (39-XX)
10 History and biography (01-XX)
10 Integral transforms, operational calculus (44-XX)
9 Approximations and expansions (41-XX)
9 General topology (54-XX)
8 Convex and discrete geometry (52-XX)
7 General and overarching topics; collections (00-XX)
7 Mathematical logic and foundations (03-XX)
6 Mechanics of particles and systems (70-XX)
6 Geophysics (86-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)
4 Differential geometry (53-XX)
3 Group theory and generalizations (20-XX)
2 Several complex variables and analytic spaces (32-XX)
2 Algebraic topology (55-XX)
2 Mechanics of deformable solids (74-XX)
2 Classical thermodynamics, heat transfer (80-XX)
1 Algebraic geometry (14-XX)
1 Optics, electromagnetic theory (78-XX)
1 Relativity and gravitational theory (83-XX)
1 Mathematics education (97-XX)

Citations by Year

The data are displayed as stored in Wikidata under a Creative Commons CC0 License. Updates and corrections should be made in Wikidata.