Jean Jacod

Jean Jacod
Born	(1944-11-13) 13 November 1944 France
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

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] . 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

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.

• 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

External links

• Jean Jacod at the Mathematics Genealogy Project
• Jean Jacod's Home page