Nonparametric Estimation of Second-Order Jump-Diffusion Model
  We study the nonparametric estimators of the infinitesimal coefficients of the second-order jump-diffusion models. Under the mild conditions, we obtain the weak consistency and the asymptotic normalities of the estimators. 
Zheng-Yan Lin, Yu-Ping Song, Han-Chao Wang
math.ST stat.TH