Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process
ESAIM: Probability and Statistics, Tome 22 (2018), pp. 58-95.

This work focuses on the asymptotic behavior of the density in small time of a stochastic differential equation driven by a truncated α -stable process with index α ( 0 , 2 ) . We assume that the process depends on a parameter β = ( θ , σ ) T and we study the sensitivity of the density with respect to this parameter. This extends the results of [E. Clément and A. Gloter, Local asymptotic mixed normality property for discretely observed stochastic dierential equations driven by stable Lévy processes. Stochastic Process. Appl. 125 (2015) 2316-1352.] which was restricted to the index α ( 1 , 2 ) and considered only the sensitivity with respect to the drift coefficient. By using Malliavin calculus, we obtain the representation of the density and its derivative as an expectation and a conditional expectation. This permits to analyze the asymptotic behavior in small time of the density, using the time rescaling property of the stable process. upper boundupper bound

DOI : 10.1051/ps/2018009
Classification : 60G51, 60G52, 60H07, 60H20, 60H10, 60J75
Mots clés : Lévy process, density in small time, stable process, Malliavin calculus for jump processes
Clément, Emmanuelle 1 ; Gloter, Arnaud 1 ; Nguyen, Huong 1

1
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     author = {Cl\'ement, Emmanuelle and Gloter, Arnaud and Nguyen, Huong},
     title = {Asymptotics in small time for the density of a stochastic differential equation driven by a stable {L\'evy} process},
     journal = {ESAIM: Probability and Statistics},
     pages = {58--95},
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Clément, Emmanuelle; Gloter, Arnaud; Nguyen, Huong. Asymptotics in small time for the density of a stochastic differential equation driven by a stable Lévy process. ESAIM: Probability and Statistics, Tome 22 (2018), pp. 58-95. doi : 10.1051/ps/2018009. http://www.numdam.org/articles/10.1051/ps/2018009/

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