LAMN property for the drift parameter of diffusion processes from discrete observations
We first consider a multidimensional diffusion with jumps driven by a Brownian motion and a Poisson random measure associated with a Lévy process without Gaussian component, whose drift coefficient depends on a multidimensional unknown parameter. We prove the local asymptotic normality (LAN) property from high-frequency discrete observations with increasing observation window by assuming some hypotheses on the coefficients of the equation, the ergodicity of the solution and the integrability of the Lévy measure.