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Local Asymptotic Mixed Normality Property for Elliptic Diffusion: A Malliavin Calculus Approach
We address the problem of the validity of the local asymptotic mixed normality (LAMN) property when the model is a multidimensional diffusion process X whose coef®cients depend on a scalar parameter è: the sample (X k= n ) 0< k< n corresponds to an observation of X at equidistant times …