Jean Jacod

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.

Jean Jacod
Born (1944-11-13) 13 November 1944[1]
France
NationalityFrench
Alma materEcole Polytechnique
Known forLimit theorems for stochastic processes, Malliavin calculus for jump processes
AwardsGay-Lussac-Humboldt-Prize (2007)
Scientific career
FieldsProbability
InstitutionsUniversité Pierre et Marie Curie
Doctoral advisorJacques Neveu

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).
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See also

References
  1. Curriculum Vitae of Jean Jacod
  2. "Jean Jacod". Laboratoire de Probabilités, Statistique et Modélisation (LPSM, UMR 8001) (in French). Retrieved 6 August 2018.
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