LAMN PROPERTY FOR THE DRIFT AND VOLATILITY PARAMETERS OF A SDE DRIVEN BY A STABLE LEVY PROCESS

This work focuses on the Local Asymptotic Mixed Normality (LAMN) property from high frequency observations, of a continuous time process solution of a stochastic differential equation driven by a pure jump Levy process with index α ∈ (0, 2). The process is observed on the fixed time interval [0,1] and the parameters appear in both the drift coefficient and scale coefficient. This extends the results of [5] where the index α ∈ (1, 2) and the parameter appears only in the drift coefficient. We compute the asymptotic Fisher information and find that the rate in the LAMN property depends on the behavior of the Levy measure near zero. The proof relies on the small time asymptotic behavior of the transition density of the process obtained in [6].