We consider density pointwise estimation and look for best attainable asymptotic rates of convergence. The problem is adaptive, which means that the regularity parameter, Ø, describing the class of densities, varies in a set B. We shall consider, successively, two classes of densities, issued...

Financial models consider often stochastic processes satisfying certain differential equations. We show that the solution of a particular geometric Brownian motion observed in discrete time is asymptotically equivalent with a Gaussian white noise model.

We give here a simulation study of a density estimator, issued from sharp adaptive estimation. This nonparametric estimator was previously proved to have interesting theoretical properties. In this paper we describe the method and apply it successfully to i.i.d. simulated data issued from...