Jean Jacod
Jean Jacod | |
|---|---|
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| 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[edit]
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[edit]
- 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[edit]
References[edit]
- ^ "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[edit]
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