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Estimating functions for SDE driven by stable Lévy processes

 Emmanuelle Clément , Arnaud Gloter
2018
Pré-publication, Document de travail hal-01570175v2
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An application of the KMT construction to the pathwise weak error in the Euler approximation of one-dimensional diffusion process with linear diffusion coefficient

 Emmanuelle Clément , Arnaud Gloter
2016
Pré-publication, Document de travail hal-01167276v2
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Local Asymptotic Mixed Normality property for discretely observed stochastic differential equations driven by stable Lévy processes

 Emmanuelle Clément , Arnaud Gloter
2013
Pré-publication, Document de travail hal-00914138v1
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LAMN property for the drift and volatility parameters of a sde driven by a stable Lévy process

 Emmanuelle Clément , Arnaud Gloter , Huong Nguyen
ESAIM: Probability and Statistics, 2019, 23, pp.136-175. ⟨10.1051/ps/2018007⟩
Article dans une revue hal-02925328v1
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Estimation of a pure-jump stable Cox-Ingersoll-Ross process

 Elise Bayraktar , Emmanuelle Clément
2023
Pré-publication, Document de travail hal-04037024v4
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Weak limit theorem in the Fourier tranform method for the estimation of multivariate volatility

 Emmanuelle Clement , Arnaud Gloter
Stochastic Processes and their Applications, 2011, 121, pp.1097-1124
Article dans une revue hal-00454494v1
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Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process

 Emmanuelle Clément , Arnaud Gloter , Huong Nguyen
ESAIM: Probability and Statistics, 2018, 22, pp.58-95. ⟨10.1051/ps/2018009⟩
Article dans une revue hal-01772290v1
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An infinite dimensional convolution theorem with applications to the efficient estimation of the integrated volatility

 Emmanuelle Clement , Sylvain Delattre , Arnaud Gloter
Stochastic Processes and their Applications, 2013, 123 (7), pp.2500-2521
Article dans une revue hal-00719460v1

Asymptotics for the normalized error of the Ninomiya–Victoir scheme

 Emmanuelle Clément , Anis Al Gerbi , Benjamin Jourdain
Stochastic Processes and their Applications, 2018, 128 (6), pp.1889-1928. ⟨10.1016/j.spa.2017.08.017⟩
Article dans une revue hal-01772604v1
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Asymptotic lower bounds in estimating jumps

 Emmanuelle Clement , Sylvain Delattre , Arnaud Gloter
Bernoulli, 2014, 20 (3), pp.1059-1096. ⟨10.3150/13-BEJ515⟩
Article dans une revue hal-00795403v1

A duality approach for the weak approximation of stochastic differential equations

 Emmanuelle Clement , Arturo Kohatsu-Higa , Damien Lamberton
The Annals of Applied Probability, 2006, 16 (3), pp.1124--1154. ⟨10.1214/105051606000000060⟩
Article dans une revue hal-00693740v1
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LAMN property for the drift and volatility parameters of a SDE driven by a stable Lévy Process

 Emmanuelle Clément , Arnaud Gloter , Huong Nguyen
2017
Pré-publication, Document de travail hal-01472749v2
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Joint estimation for SDE driven by locally stable Lévy processes

 Emmanuelle Clément , Arnaud Gloter
2020
Pré-publication, Document de travail hal-02125428v2
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Integration by parts formula and applications to equations with jumps

 Emmanuelle Clement , Vlad Bally
Probability Theory and Related Fields, 2011, 151 (3-4), pp.613-657
Article dans une revue hal-00431632v1
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Integration by parts formula with respect to jump times for stochastic differential equations

 Vlad Bally , Emmanuelle Clement
Stochastic Analysis 2010, Springer-Verlag, pp.7-29, 2010
Chapitre d'ouvrage hal-00472657v1

Ninomiya-Victoir scheme: strong convergence, antithetic version and application to multilevel estimators

 Anis Al Gerbi , Benjamin Jourdain , Emmanuelle Clément
Monte Carlo Methods and Applications, 2016, 22 (3), pp.197-228
Article dans une revue hal-01188675v1

An application of the KMT construction to the pathwise weak error in the Euler approximation of one-dimensional diffusion process with linear diffusion coefficient

 Emmanuelle Clément , Arnaud Gloter
The Annals of Applied Probability, 2017, 27 (4), pp.2419-2454. ⟨10.1214/16-AAP1263⟩
Article dans une revue hal-01585830v1

Ninomiya-Victoir scheme : Multilevel Monte-Carlo estimators and discretization of the involved Ordinary Differential Equations

 Anis Al Gerbi , Benjamin Jourdain , Emmanuelle Clément
ESAIM: Proceedings and Surveys, 2017, Thematic cycle on Monte-Carlo techniques, 59, pp.1-14
Article dans une revue hal-01421337v1

Estimating functions for SDE driven by stable Lévy processes

 Emmanuelle Clément , Arnaud Gloter
Annales de l'Institut Henri Poincaré (B) Probabilités et Statistiques, 2019, 55 (3), pp.1316-1348. ⟨10.1214/18-AIHP920⟩
Article dans une revue hal-03164191v1
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Asymptotics in small time for the density of a stochastic differential equation driven by a stable LEVY process

 Emmanuelle Clément , Arnaud Gloter , Huong Nguyen
2017
Pré-publication, Document de travail hal-01410989v2

Joint estimation for SDE driven by locally stable Lévy processes

 Emmanuelle Clément , Arnaud Gloter
Electronic Journal of Statistics , 2020, 14 (2), pp.2922-2956. ⟨10.1214/20-EJS1737⟩
Article dans une revue hal-03164188v1
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Hellinger and total variation distance in approximating Lévy driven SDEs

 Emmanuelle Clément
The Annals of Applied Probability, 2023, 33 (3), pp.2176-2209. ⟨10.1214/22-AAP1863⟩
Article dans une revue hal-03164919v3

Asymptotic error distribution for the Ninomiya-Victoir scheme in the commutative case

 Anis Al Gerbi , Benjamin Jourdain , Emmanuelle Clément
2016
Pré-publication, Document de travail hal-01390897v1
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Local Asymptotic Mixed Normality property for discretely observed stochastic differential equations driven by stable Léevy processes

 Emmanuelle Clément , Arnaud Gloter
Stochastic Processes and their Applications, 2015, 123 (6), pp.2316-2352. ⟨10.1016/j.spa.2015.01.002⟩
Article dans une revue hal-01141511v1
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Optimality properties in estimating jumps

 Emmanuelle Clement , Sylvain Delattre , Arnaud Gloter
2011
Pré-publication, Document de travail hal-00609983v1

An analysis of a least squares regression method for American option pricing

 Emmanuelle Clement , D Lamberton , P Protter
Finance and Stochastics, 2002, 6 (4), pp.449--471. ⟨10.1007/s007800200071⟩
Article dans une revue istex hal-00693599v1
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