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Asymptotic equivalence for inhomogeneous jump diffusion processes and white noise

2 May 2014
Ester Mariucci
ArXiv (abs)PDFHTML
Abstract

We prove the global asymptotic equivalence between the experiments generated by the discrete (high frequency) or continuous observation of a path of a time inhomogeneous jump-diffusion process and a Gaussian white noise experiment. Here, the considered parameter is the drift function, and we suppose that the observation time TTT tends to ∞\infty∞. The approximation is given in the sense of the Le Cam Δ\DeltaΔ-distance, under smoothness conditions on the unknown drift function. These asymptotic equivalences are established by constructing explicit Markov kernels that can be used to reproduce one experiment from the other.

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