LAN property for a simple Lévy process

Abstract

In this paper, we consider a simple Lévy process given by a Brownian motion and a compensated Poisson process, whose drift and diffusion parameters as well as its intensity are unknown. Supposing that the process is observed discretely at high frequency, we derive the local asymptotic normality (LAN) property. In order to obtain this result, Malliavin calculus and Girsanov's theorem are applied in order to write the log-likelihood ratio in terms of sums of conditional expectations, for which a central limit theorem for triangular arrays can be applied.