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Hamdi Fathallah

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Preprint Sep 2026

Random Jump Intensities and Bernstein Density Estimation in Ergodic Basic Affine Jump-Diffusion Processes

This paper develops a random-effects extension of the ergodic basic affine jump-diffusion (BAJD) model for a population of independent trajectories with individual unobserved jump intensities and common structural parameters. Under continuous-time observation, each intensity is estimated by the empirical jump frequency...

Hamdi Fathallah · 0 citations

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