Short course on Lévy Processes - Part 2

Part 2: Statistics for jump processes

In the second part of the mini course, we will discuss how to estimate the Lévy measure from discrete observations of a trajectory of a Lévy process. At first, we will use the Lévy-Itô decomposition to estimate the jump part of the process in a high frequency regime, i.e. when the distance in time between the n given observations vanishes as n grows. Then, we will investigate the low frequency regime, i.e. when the trajectory of the process is sampled at a fixed rate, and estimate the Lévy measure by using a spectral approach based on the Lévy-Khintchine formula.

The flyer with the short course description can be found <link fileadmin user_upload short_course_levy_processes.pdf>here.