Jean Jacod (born 1944) is a
French
French (french: français(e), link=no) may refer to:
* Something of, from, or related to France
** French language, which originated in France, and its various dialects and accents
** French people, a nation and ethnic group identified with Franc ...
mathematician specializing in stochastic processes and probability theory. He has been a professor at the
Université Pierre et Marie Curie.
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
In probability theory and related fields, a stochastic () or random process is a mathematical object usually defined as a family of random variables. Stochastic processes are widely used as mathematical models of systems and phenomena that appe ...
.
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
Jacques Jean-Pierre Neveu (14 November 193217 May 2016) was a Belgian (and then French) mathematician, specializing in probability theory. He is one of the founders of the French school (post WW II) of probability and statistics.
Education and car ...
.
Selected bibliography
*
*
*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
*
List of École Polytechnique alumni This is a list of notable people affiliated with the École Polytechnique
École may refer to:
* an elementary school in the French educational stages normally followed by secondary education establishments (collège and lycée)
* École (river), ...
References
External links
*
Jean Jacod's Home page
{{DEFAULTSORT:Jacod, Jean
1948 births
Living people
20th-century French mathematicians
21st-century French mathematicians
Pierre and Marie Curie University alumni
École Polytechnique alumni
French probability theorists