Jean Jacod | |
|---|---|
 | |
| Born | 13 November 1944[1] |
| Nationality | French |
| Alma mater | Ecole Polytechnique |
| Known for | Limit theorems for stochastic processes, Malliavin calculus for jump processes |
| Awards | Gay-Lussac-Humboldt-Prize (2007) |
| Scientific career | |
| Fields | Probability |
| Institutions | Université Pierre et Marie Curie |
| Doctoral advisor | Jacques Neveu |
| Doctoral students | Gilles Pages |
Jean Jacod (born 1944) is a French mathematician specializing in stochastic processes and probability theory. He has been a professor at the Université Pierre et Marie Curie.[2] He has made fundamental contributions to a wide range of topics in probability theory including stochastic calculus, limit theorems, martingale problems, Malliavin calculus and statistics of stochastic processes.
Biography
Jean Jacod graduated from Ecole Polytechnique in 1965 and obtained his Doctorat d'État in Mathematics from the Université Paris-VI. His advisor was Jacques Neveu.
Selected bibliography
- Jacod, Jean; Shiryaev, Albert N. (1987). Limit theorems for stochastic processes. doi:10.1007/978-3-662-05265-5. ISBN 9783540439325.
- Jacod, Jean; Protter, Philip (2012). Discretization of Processes. doi:10.1007/978-3-642-24127-7. ISBN 9783642241260.
- J. JACOD, P. PROTTER: Asymptotic error distributions for the Euler method for stochastic differential equations. Ann. Probab., 26, 267-307 (1998).
- J. JACOD: Non-parametric kernel estimation of the diffusion for a diffusion process. Scand. J. Statist. 27, 83-96 (2000).
- E. EBERLEIN, J. JACOD, S. RAIBLE: Levy term structure models: no–arbitrage and completeness. Finance and Stochastics, 9, 67–88 (2005)
- J. JACOD: Asymptotic properties of power variations of L'evy processes. ESAIM-PS, 11, 173-196 (2007).
- J. JACOD: Asymptotic properties of realized power variations and associated functionals 129-A of semimartingales. Stoch. Proc. Appl., 118, 517-559 (2008).
- Y. AIT–SAHALIA, J. JACOD: Testing for jumps in a discretely observed process. Annals of Statistics, 37, 1, 184-222 (2009).
- J. JACOD, Y. LI, P. MYKLAND, M. PODOLSKIJ, M. VETTER: Microstructure noise in the continuous case: the pre-averaging approach. Stoch. Proc. Appl., 119, 7, 2249-2276
(2009).
- J. JACOD, Z. KOWALSKI, A. NIKEGHBALI: Mod-Gaussian convergence: new limit theorems in probability and number theory. Forum Math. 23, 835-873 (2011).
- A. DIOP, J. JACOD, V. TODOROV: Central Limit Theorem for Approximate Quadratic Variations of Pure Jump Ito Semimartingales. Stoch. Proc. Appl. 123, 839-886 (2013).
See also
References
- ↑ "CURRICULUM VITAE de Jean JACOD" (PDF). Archived from the original (PDF) on 6 August 2018. Retrieved 14 July 2022.
- ↑ "Jean Jacod". Laboratoire de Probabilités, Statistique et Modélisation (LPSM, UMR 8001) (in French). Retrieved 6 August 2018.
External links
This article is issued from Wikipedia. The text is licensed under Creative Commons - Attribution - Sharealike. Additional terms may apply for the media files.