Second derivative of the log-likelihood in the model given by a Levy driven stochastic differential equations

preprint2014arXivOpen access

By means of the Malliavin calculus, integral representation for the second derivative of the loglikelihood function are given for a model based on discrete time observations of the solution to SDE driven by a Levy process.

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Second derivative of the log-likelihood in the model given by a Levy driven stochastic differential equations

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