Alexei Kulik (Kyiv)
Suppose we have a high-frequency sample for the solution to a SDE dX_t^?=a(?_1,X^?_t) dt+ ?_2 d Z_t+dU_t, where Z is a locally ?-stable symmetric process, and U is a Lévy process, which has the meaning of a ``nuisance noise''. We will derive the local asymptotic normality (LAN) property of the model, using a Malliavin calculus-based integral representation for the derivative of the log-likelihood function of the model.