Nonparametric Estimation for Lévy Models Based on Discrete-Sampling

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Estimation for L\'{e}vy processes from high frequency data within a long time interval (2011, background): “…of b̃= σ2 = 0 or assuming stronger integrability conditions on the Lévy density [see, e.g., Watteel and Kulperger (2003), Jongbloed and van der Meulen (2006), van Es, Gugushvili and Spreij (2007), Figueroa-López (2009) and the references therein, Comte and Genon-Catalot (2009, 2010a, 2010b)].”
Small-time moment asymptotics for Lévy processes (2008, unknown): “[17], [9], [10], and [21]).”
Small-time expansions for the transition distributions of Lévy processes (2008, methodology): “2), are heavily exploited in [5] and [6], where the general problem of nonparametric estimation of the Lévy density s is studied using Grenander’s method of sieves.”